FBSDE approach to utility portfolio selection in a market with random parameters

DOI10.1016/j.spl.2007.07.016zbMath1193.91138OpenAlexW2029679737MaRDI QIDQ2479338

René Ferland, François Watier

Publication date: 26 March 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2007.07.016

zbMATH Keywords

optimal portfolioforward-backward stochastic differential equationsexpected utility maximization

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (2)

Robust consumption-investment problems with random market coefficients ⋮ Optimal stochastic regulators with state-dependent weights

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Adapted solution of a backward stochastic differential equation
• The steepest descent method for forward-backward SDEs
• Forward-backward stochastic differential equations and their applications
• Backward-forward stochastic differential equations
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Solution of forward-backward stochastic differential equations
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Backward Stochastic Differential Equations in Finance
• A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
• Numerical Algorithms for Forward-Backward Stochastic Differential Equations
• Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
• Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market

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