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dc.date.accessioned2013-03-12T08:19:00Z
dc.date.available2013-03-12T08:19:00Z
dc.date.issued2011en_US
dc.date.submitted2011-07-06en_US
dc.identifier.urihttp://hdl.handle.net/10852/10265
dc.description.abstractWe study the problem of recursive utility maximization in the presence of nonlinear constraint on the wealth for a model driven by L evy processes. We extend the notion of W-divergence to vector valued functions and then reduce the problem to the classical problem of recursive utility maximization problem under the W -projection. Using BSDE technics, we derive a first order condition which gives a necessary and sufficient condition of optimality under the W-projection, which generalizes the characterization of optimal solution obtained in [6] in the case of continuous time, and also the result obtained in [9] in the case of standard utility.nor
dc.language.isoengen_US
dc.publisherMatematisk Institutt, Universitetet i Oslo
dc.relation.ispartofPreprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076en_US
dc.relation.urihttp://urn.nb.no/URN:NBN:no-8076
dc.rights© The Author(s) (2011). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society.
dc.titlePORTFOLIOS OPTIMIZATION UNDER CONSTRAINT IN INCOMPLETE MARKETS BASED UPON RECURSIVE UTILITIESen_US
dc.typeResearch reporten_US
dc.date.updated2012-06-13en_US
dc.rights.holderCopyright 2011 The Author(s)
dc.creator.authorMenoukeu Pamen, Olivieren_US
dc.creator.authorTa, An Thi Kieuen_US
dc.subject.nsiVDP::410en_US
dc.identifier.cristin828315en_US
dc.identifier.urnURN:NBN:no-28468en_US
dc.type.documentForskningsrapporten_US
dc.identifier.duo131980en_US
dc.identifier.fulltextFulltext https://www.duo.uio.no/bitstream/handle/10852/10265/1/AnOliviereprint2011.pdf


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