English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Zendy Plus

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Zendy Tools

Zendy Open

This memoir presents a systematic study of the utility maximization problemof an investor in a constrained and unbounded financial market. Building uponthe work of Hu et al. (2005) [Ann. Appl. Probab., 15, 1691--1712] in a boundedframework, we extend our analysis to the more challenging unbounded case. Ourmethodology combines both methods of quadratic backward stochastic differentialequations with unbounded solutions and convex duality. Central to our approachis the verification of the finite entropy condition, which plays a pivotal rolein solving the underlying utility maximization problem and establishing themartingale property and the convex duality representation of the conditionalvalue process. Through four distinct applications, we first study the utilityindifference valuation of financial derivatives with unbounded payoffs,uncovering novel asymptotic behaviors as the risk aversion parameter approacheszero or infinity. Furthermore, we study the regime switching market model withunbounded random endowments and consumption-investment problems with unboundedrandom endowments, both constrained to portfolios chosen from a convex andclosed set. Finally, we investigate the investment-consumption problem of aninvestor with the Epstein-Zin recursive utility in an unbounded financialmarket.

Utility maximization in constrained and unbounded financial markets:  Applications to indifference valuation, regime switching, consumption and  Epstein-Zin recursive utility