Forward-backward systems for expected utility maximization

In this paper we deal with the utility maximization problem with a general utility function. We derive a new approach in which we reduce the utility maximization prob- lem with general utility to the study of a fully-coupled Forward-Backward Stochastic Differential Equation (FBSDE).

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Year of publication:	2011-10
Authors:	Horst, Ulrich ; Hu, Ying ; Imkeller, Peter ; Reveillac, Anthony
Institutions:	Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
Subject:	utility maximization

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Extent:	application/pdf
Series:	SFB 649 Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number SFB649DP2011-061 34 pages
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; D52 - Incomplete Markets ; D53 - Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010607141