Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56735
Authors: 
Horst, Ulrich
Hu, Ying
Imkeller, Peter
Réveillac, Anthony
Zhang, Jianing
Year of Publication: 
2011
Series/Report no.: 
SFB 649 discussion paper 2011-061
Abstract: 
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 problem with general utility to the study of a fully-coupled Forward-Backward Stochastic Differential Equation (FBSDE).
JEL: 
C61
D52
D53
Document Type: 
Working Paper

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