金融工程研究中心学术报告：Utility maximization in constrained and unbounded financial markets: Applications to indifference valuation, regime switching, consumption and Epstein-Zin recursive utility

报告人：梁歌春 University of Warwick 报告时间：2024.08.06（周二）19:00-20:00 报告地点：腾讯会议561-125-987 报告摘要： This talk presents a systematic study of utility maximization problems for an investor in constrained and unbounded financial markets. Building upon the foundational work of Hu et al.(2005)[Ann. Appl. Probab.15, 1691--1712] in a bounded framework, we extend our analysis to more challenging unbounded cases. Our methodology combines quadratic backward stochastic differential equations with unbouded solutions and convex duality methods. Central to our approach is the verification of the finite entropy condition, which plays a pivotal role in solving the underlying utility maximization problems and establishing the martingale property and convex duality representation of the value processes. Through four distinct applications, we first study ltility indifference valuation of financial derivatives with unbounded payoffs, uncovering novel asymptotic behavior as the risk aversion parameter approaches zero or infinity. Furthermore, we study the regime switching market model with unbounded random endowments and consumption-investment problems with unbounded random endowments, both constrained to portfolios chosen from a convex and closed set. Finally, we investigate investment-consumption problems involving an investor with Epstein-Zin recursive utility in an unbounded financial market.