S-shaped utility maximization with VaR constraint and partial information
File(s)
Published version
Author(s)
zhu, dongmei
Davey, ashley
Zheng, Harry
Type
Journal Article
Abstract
We study S-shaped utility maximisation with VaR constraint and unobservable drift coefficient. Using the Bayesian filter, the concavification principle, and the change of measure, we give a semi-closed integral representation for the dual value function and find a critical wealth
level that determines if the constrained problem admits a unique optimal solution and Lagrange multiplier or is infeasible. We also propose three algorithms (Lagrange, simulation, deep neural network) to solve the problem and compare their performances with numerical examples.
level that determines if the constrained problem admits a unique optimal solution and Lagrange multiplier or is infeasible. We also propose three algorithms (Lagrange, simulation, deep neural network) to solve the problem and compare their performances with numerical examples.
Date Issued
2026-04-25
Date Acceptance
2026-03-29
Citation
Journal of Optimization Theory and Applications, 2026, 209 (1), pp.1-24
ISSN
0022-3239
Publisher
Springer
Start Page
1
End Page
24
Journal / Book Title
Journal of Optimization Theory and Applications
Volume
209
Issue
1
Copyright Statement
©TheAuthor(s) 2026. This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article’s Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article’s Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/.
License URL
Identifier
10.1007/s10957-026-02998-0
Subjects
S-shaped utility maximization
VaR constraint
Partial information
Bayesian filter
Dual control
Physics informed neural network Mathematics Subject Classification 93E20
93E11
91G80
90C46
49M29 B Harry Zheng
Publication Status
Published
Article Number
46
Date Publish Online
2026-04-25