FBSDE approach to utility portfolio selection in a market with random parameters

DOI10.1016/j.spl.2007.07.016zbMath1193.91138OpenAlexW2029679737MaRDI QIDQ2479338

René Ferland, François Watier

Publication date: 26 March 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2007.07.016

zbMATH Keywords

optimal portfolioforward-backward stochastic differential equationsexpected utility maximization

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items

Robust consumption-investment problems with random market coefficients ⋮ Optimal stochastic regulators with state-dependent weights

Cites Work

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