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Type of Publication: | Journal article |
Publication status: | Published |
Author: | Heyne, Gregor; Kupper, Michael; Tangpi, Ludovic |
Year of publication: | 2016 |
Published in: | International Journal of Theoretical and Applied Finance ; 19 (2016), 5. - 1650029. - ISSN 0219-0249. - eISSN 1793-6322 |
ArXiv-ID: | arXiv:1504.03931 |
DOI (citable link): | https://dx.doi.org/10.1142/S0219024916500291 |
Summary: |
This paper studies the utility maximization problem of an agent with non-trivial endowment, and whose preferences are modeled by the maximal subsolution of a BSDE. We prove existence of an optimal trading strategy and relate our existence result to the existence of a maximal subsolution to a controlled decoupled FBSDE. Using BSDE duality, we show that the utility maximization problem can be seen as a robust control problem admitting a saddle point if the generator of the BSDE additionally satisfies a specific growth condition. We show by convex duality that any saddle point of the robust control problem agrees with a primal and a dual optimizer of the utility maximization problem, and can be characterized in terms of a BSDE solution.
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Subject (DDC): | 510 Mathematics |
Keywords: | Subsolutions of BSDEs; submartingale; convex duality; utility maximization |
Bibliography of Konstanz: | Yes |
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HEYNE, Gregor, Michael KUPPER, Ludovic TANGPI, 2016. Portfolio Optimization under Nonlinear Utility. In: International Journal of Theoretical and Applied Finance. 19(5), 1650029. ISSN 0219-0249. eISSN 1793-6322. Available under: doi: 10.1142/S0219024916500291
@article{Heyne2016Portf-30887.2, title={Portfolio Optimization under Nonlinear Utility}, year={2016}, doi={10.1142/S0219024916500291}, number={5}, volume={19}, issn={0219-0249}, journal={International Journal of Theoretical and Applied Finance}, author={Heyne, Gregor and Kupper, Michael and Tangpi, Ludovic}, note={Article Number: 1650029} }
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