[in Journal: Stochastics and Dynamics] AND [Keyword: Consumption] : Search

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articleNo Access
OPTIMAL CONSUMPTION AND INVESTMENT IN INCOMPLETE MARKETS WITH GENERAL CONSTRAINTS
- PATRICK CHERIDITO and
- YING HU
Stochastics and Dynamics01 Sep 2011
Preview Abstract
We study an optimal consumption and investment problem in a possibly incomplete market with general, not necessarily convex, stochastic constraints. We provide explicit solutions for investors with exponential, logarithmic as well as power utility and show that they are unique if the constraints are convex. Our approach is based on martingale methods that rely on results on the existence and uniqueness of solutions to BSDEs with drivers of quadratic growth.

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