BSDE approach to utility maximization with square-root factor processes
type: Item
instance of: scholarly article
title: BSDE approach to utility maximization with square-root factor processes
author: Hongcan Lin
author: David Saunders
author: Chengguo Weng
published in: Operations Research Letters
publication date: 2020-04-07T00:00:00Z
Mathematics Subject Classification ID: 90-XX
zbMATH DE Number: 7186951
zbMATH Keywords: backward stochastic differential equations
zbMATH Keywords: utility maximization
zbMATH Keywords: square-root factor process
zbMATH Keywords: Riccati equation
MaRDI profile type: Publication
full work available at URL: j.orl.2020.01.001
OpenAlex ID: W3004006747
cites work: PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS
cites work: Utility maximization in incomplete markets
cites work: Continuous-time stochastic control and optimization with financial applications
cites work: Riccati differential equations
cites work: Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models
cites work: Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
cites work: Functional Itô's calculus and dynamic convex risk measures for derivative securities
cites work: A stochastic volatility model and optimal portfolio selection
DOI: 10.1016/J.ORL.2020.01.001
description: scientific article; zbMATH DE number 7186951