Optimal risk transfer and investment policies based upon stochastic differential utilities

DOI10.1007/S10690-006-9031-8zbMath1283.91180OpenAlexW1979233679MaRDI QIDQ2372259

Nobuhiro Nakamura

Publication date: 25 July 2007

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-006-9031-8

Mathematics Subject Classification ID

Utility theory (91B16) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Forward-backward stochastic differential equations and their applications
• Continuous-time security pricing. A utility gradient approach
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• A dynamic maximum principle for the optimization of recursive utilities under constraints.
• Stochastic Differential Utility
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

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