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2011-10-14Diskussionspapier DOI: 10.18452/4349
Forward-backward systems for expected utility maximization
dc.contributor.authorHorst, Ulrich
dc.contributor.authorHu, Ying
dc.contributor.authorImkeller, Peter
dc.contributor.authorRéveillac, Anthony
dc.contributor.authorZhang, Jianing
dc.date.accessioned2017-06-16T00:28:12Z
dc.date.available2017-06-16T00:28:12Z
dc.date.created2011-11-04
dc.date.issued2011-10-14
dc.date.submitted2011-10-14
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5001
dc.description.abstractIn 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).eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subject.ddc330 Wirtschaft
dc.titleForward-backward systems for expected utility maximization
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-100196142
dc.identifier.doihttp://dx.doi.org/10.18452/4349
local.edoc.pages36
local.edoc.type-nameDiskussionspapier
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2011
dc.identifier.zdb2195055-6
bua.series.nameSonderforschungsbereich 649: Ökonomisches Risiko
bua.series.issuenumber2011,61

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