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

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.

arXiv admin note: text overlap with arXiv:1010.0080 by other authors