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

A continuous-time utility portfolio selection problem is studied in a market in which the interest rate, appreciation rates and volatility coefficients are driven by Brownian motion. We construct an optimal portfolio using results from forward-backward stochastic differential equations (FBSDE) theory. As an illustration, exact computation of the optimal strategy is done for the power and exponential type utilities.

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Year of publication:	2008
Authors:	Ferland, René ; Watier, François
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 4, p. 426-434
Publisher:	Elsevier
Keywords:	Expected utility maximization Optimal portfolio Forward-backward stochastic differential equations

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223551