Recursive utility optimization with concave coefficients
Shaolin Ji and
Papers from arXiv.org
This paper concerns the recursive utility maximization problem. We assume that the coefficients of the wealth equation and the recursive utility are concave. Then some interesting and important cases with nonlinear and nonsmooth coefficients satisfy our assumption. After given an equivalent backward formulation of our problem, we employ the Fenchel-Legendre transform and derive the corresponding variational formulation. By the convex duality method, the primal "sup-inf" problem is translated to a dual minimization problem and the saddle point of our problem is derived. Finally, we obtain the optimal terminal wealth. To illustrate our results, three cases for investors with ambiguity aversion are explicitly worked out under some special assumptions.
New Economics Papers: this item is included in nep-ger and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
http://arxiv.org/pdf/1607.00721 Latest version (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1607.00721
Access Statistics for this paper
More papers in Papers from arXiv.org
Series data maintained by arXiv administrators ().