FBSDE approach to utility portfolio selection in a market with random parameters (Q2479338)
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scientific article; zbMATH DE number 5254064
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| English | FBSDE approach to utility portfolio selection in a market with random parameters |
scientific article; zbMATH DE number 5254064 |
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FBSDE approach to utility portfolio selection in a market with random parameters (English)
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26 March 2008
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expected utility maximization
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optimal portfolio
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forward-backward stochastic differential equations
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0.8044641613960266
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0.7848435640335083
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0.7841691374778748
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0.7834116816520691
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0.7772631049156189
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