Forward-backward systems for expected utility maximization
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Abstract: 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 problem with general utility to the study of a fully-coupled Forward-Backward Stochastic Differential Equation (FBSDE).
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- scientific article; zbMATH DE number 7563975
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Cited in
(31)- Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model
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- Forward backward semimartingale systems for utility maximization
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- scientific article; zbMATH DE number 7563975 (Why is no real title available?)
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