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

DOI10.1016/J.SPL.2007.07.016MaRDI QIDQ2479338zbMATH OpenOpenAlexFDO

Authors 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

expected utility maximizationforward-backward stochastic differential equationsoptimal portfolio

Mathematics Subject Classification ID

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

Recommendations

• Forward-backward systems for expected utility maximization
• Characterization of fully coupled FBSDE in terms of portfolio optimization
• Backward stochastic PDEs related to the utility maximization problem
• Portfolio optimization under nonlinear utility
• Mean-Variance Portfolio Selection with Random Parameters in a Complete Market

Cites work

• A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
• Adapted solution of a backward stochastic differential equation
• Backward Stochastic Differential Equations in Finance
• Backward-forward stochastic differential equations
• Forward-backward stochastic differential equations and their applications
• Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
• Numerical Algorithms for Forward-Backward Stochastic Differential Equations
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Optimum consumption and portfolio rules in a continuous-time model
• Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
• Solution of forward-backward stochastic differential equations
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• The steepest descent method for forward-backward SDEs

Cited in

(6)

• Robust consumption-investment problems with random market coefficients
• BSDE approach to utility maximization with square-root factor processes
• Characterization of fully coupled FBSDE in terms of portfolio optimization
• Optimal stochastic regulators with state-dependent weights
• Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach
• Short communication: the price of information

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