Anis Matoussi

Ecole Polytechnique, Paris

1 rue Descartes

Paris, 75005

France

SCHOLARLY PAPERS

2

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158

SSRN CITATIONS

3

CROSSREF CITATIONS

7

Scholarly Papers (2)

Convex Duality for Epstein-Zin Stochastic Differential Utility

Number of pages: 25 Posted: 15 Jan 2016 Last Revised: 02 Nov 2016
Anis Matoussi and Hao Xing
Ecole Polytechnique, Paris and London School of Economics & Political Science (LSE)
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Citation 2

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Consumption investment optimization, Convex duality, Stochastic differential utility, Backward stochastic differential equation

Convex Duality for Epstein–Zin Stochastic Differential Utility

Mathematical Finance, Vol. 28, Issue 4, pp. 991-1019, 2018
Number of pages: 29 Posted: 17 Sep 2018
Anis Matoussi and Hao Xing
Ecole Polytechnique, Paris and London School of Economics & Political Science (LSE)
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backward stochastic differential equation, consumption investment optimization, convex duality, stochastic differential utility

2.

Robust Utility Maximization in Nondominated Models with 2BSDE: The Uncertain Volatility Model

Mathematical Finance, Vol. 25, Issue 2, pp. 258-287, 2015
Number of pages: 30 Posted: 04 Mar 2015
Anis Matoussi, Dylan Possamai and Chao Zhao
Ecole Polytechnique, Paris, Ecole Polytechnique, Paris and Ecole Polytechnique, Palaiseau - CMAP CNRS-UMR 7641 and Ecole Polytechnique
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Citation 3
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second‐order backward stochastic differential equation, quadratic growth, robust utility maximization, volatility uncertainty