Optimal investment and consumption under $g$- expected utility and general constraints in incomplete market

Wahid Faidi

Papers from arXiv.org

Abstract: This article studies the problem of utility maximization in an incomplete market under a class of nonlinear expectations and general constraints on trading strategies. Using a $g$-martingale method, we provide an explicit solution to our optimization problem for different utility functions and characterize an optimal investment-consumption strategy through the solutions to quadratic BSDEs.

Date: 2025-01
New Economics Papers: this item is included in nep-upt
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