Papers
Topics
Authors
Recent
Gemini 2.5 Flash
Gemini 2.5 Flash
134 tokens/sec
GPT-4o
10 tokens/sec
Gemini 2.5 Pro Pro
47 tokens/sec
o3 Pro
4 tokens/sec
GPT-4.1 Pro
38 tokens/sec
DeepSeek R1 via Azure Pro
28 tokens/sec
2000 character limit reached

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.

Summary

We haven't generated a summary for this paper yet.

X Twitter Logo Streamline Icon: https://streamlinehq.com