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Optimal investment and consumption under logarithmic utility and uncertainty model (2211.05367v2)
Published 10 Nov 2022 in q-fin.MF
Abstract: We study a robust utility maximization problem in the case of an incomplete market and logarithmic utility with general stochastic constraints, not necessarily convex. Our problem is equivalent to maximizing of nonlinear expected logarithmic utility. We characterize the optimal solution using quadratic BSDE.