Optimal risk transfer and investment policies based upon stochastic differential utilities
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Publication:2372259
DOI10.1007/S10690-006-9031-8zbMATH Open1283.91180OpenAlexW1979233679MaRDI QIDQ2372259FDOQ2372259
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
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Cites Work
- Forward-backward stochastic differential equations and their applications
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- A dynamic maximum principle for the optimization of recursive utilities under constraints.
- Stochastic Differential Utility
- Title not available (Why is that?)
- Continuous-time security pricing. A utility gradient approach
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- Title not available (Why is that?)
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