BSDE approach to utility maximization with square-root factor processes

DOI10.1016/J.ORL.2020.01.001MaRDI QIDQ1984680zbMATH OpenOpenAlexFDO

Authors Hongcan Lin, David Saunders, Chengguo Weng

Publication date 7 April 2020

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.orl.2020.01.001

zbMATH Keywords

backward stochastic differential equationsutility maximizationRiccati equationsquare-root factor process

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

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Cites work

• A stochastic volatility model and optimal portfolio selection
• Continuous-time stochastic control and optimization with financial applications
• Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models
• Functional Itô's calculus and dynamic convex risk measures for derivative securities
• Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
• Portfolio optimization and stochastic volatility asymptotics
• Riccati differential equations
• Utility maximization in incomplete markets

Cited in

(3)

• Local existence and uniqueness of solutions to quadratic BSDEs with weak monotonicity and general growth generators
• Representation of solutions to quadratic 2BSDEs with unbounded terminal values
• Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach

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