Title
Utility maximization in constrained and unbounded financial markets: Application to Epstein-Zin recursive utility
Abstract
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 unbounded 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. As an application, we investigate investment-consumption problems involving an investor with Epstein-Zin recursive utility in an unbounded financial market. Based on joint work with Ying Hu and Shanjian Tang arXiv:1707.00199v4
Bio
Gechun Liang a Reader at the Department of Statistics. His past positions include Associate Professor in the University of Warwick, Lecturer in King’s College London and Postdoctoral Research Fellow at the Oxford-Man Institute of Quantitative Finance. In 2018-2019, He was awarded FRIAS Senior Fellow and Marie Curie Fellow at the Freiburg Institute of Advanced Studies (FRIAS), University of Freiburg. His research interests are mainly focused on mathematical finance and stochastic control.