Forward-backward systems for expected utility maximization
In this paper we deal with the utility maximization problem with a general utility function. We derive a new approach in which we reduce the utility maximization prob- lem with general utility to the study of a fully-coupled Forward-Backward Stochastic Differential Equation (FBSDE).
Year of publication: |
2011-10-14
|
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Authors: | Horst, Ulrich ; Hu, Ying ; Imkeller, Peter ; Réveillac, Anthony ; Zhang, Jianing |
Publisher: |
Humboldt University Berlin, Germany |
Subject: | Wirtschaft |
Saved in:
freely available
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