Optimal risk transfer and investment policies based upon stochastic differential utilities

DOI10.1007/S10690-006-9031-8MaRDI QIDQ2372259zbMATH OpenOpenAlexFDO

Authors Nobuhiro Nakamura

Publication date 25 July 2007

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-006-9031-8

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Utility theory (91B16)

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Cites work

• scientific article; zbMATH DE number 2133102 (Why is no real title available?)
• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• A dynamic maximum principle for the optimization of recursive utilities under constraints.
• Continuous-time security pricing. A utility gradient approach
• Forward-backward stochastic differential equations and their applications
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Stochastic Differential Utility
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

Cited in

(3)

• Numerical approach to asset pricing models with stochastic differential utility
• OPTIMAL NUMERAIRES FOR RISK MEASURES
• Reexamining the feasibility of diversification and transfer instruments on smoothing catastrophe risk

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