BSDE approach to utility maximization with square-root factor processes

DOI10.1016/j.orl.2020.01.001OpenAlexW3004006747MaRDI QIDQ1984680

Hongcan Lin, David Saunders, Chengguo Weng

Publication date: 7 April 2020

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2020.01.001

zbMATH Keywords

backward stochastic differential equationsRiccati equationutility maximizationsquare-root factor process

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Related Items (1)

Local existence and uniqueness of solutions to quadratic BSDEs with weak monotonicity and general growth generators

Cites Work

• Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models
• Continuous-time stochastic control and optimization with financial applications
• Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
• Riccati differential equations
• Utility maximization in incomplete markets
• A stochastic volatility model and optimal portfolio selection
• PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS
• Unnamed Item

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