کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1154220 958376 2008 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
FBSDE approach to utility portfolio selection in a market with random parameters
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
FBSDE approach to utility portfolio selection in a market with random parameters
چکیده انگلیسی

A continuous-time utility portfolio selection problem is studied in a market in which the interest rate, appreciation rates and volatility coefficients are driven by Brownian motion. We construct an optimal portfolio using results from forward–backward stochastic differential equations (FBSDE) theory. As an illustration, exact computation of the optimal strategy is done for the power and exponential type utilities.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 78, Issue 4, March 2008, Pages 426–434
نویسندگان
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