|
EconStor >
Humboldt-Universität Berlin >
Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/56735
|
| | |
| Title: | | Forward-backward systems for expected utility maximization  |
| Authors: | | Horst, Ulrich Hu, Ying Imkeller, Peter Réveillac, Anthony Zhang, Jianing |
| Issue Date: | | 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 |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/56735
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|