| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1154220 | Statistics & Probability Letters | 2008 | 9 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
René Ferland, François Watier,