Optimal risk transfer and investment policies based upon stochastic differential utilities
| Year of publication: |
2005
|
|---|---|
| Authors: | Nakamura, Nobuhiro |
| Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 12.2005, 4, p. 375-403
|
| Publisher: |
Springer |
| Subject: | Stochastic differential utility | Forward–backward stochastic differential equation | Lattice algorithm | Four-step scheme |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005727045