BSDE approach to utility maximization with square-root factor processes
Hongcan Lin, David Saunders, Chengguo Weng
| Year of publication: |
2020
|
|---|---|
| Authors: | Lin, Hongcan ; Saunders, David M. ; Weng, Chengguo |
| Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 48.2020, 2, p. 130-135
|
| Subject: | Backward stochastic differential equations | Riccati equation | Square-root factor process | Utility maximization | Theorie | Theory | Stochastischer Prozess | Stochastic process | Analysis | Mathematical analysis | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.orl.2020.01.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012254025