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Optimal risk transfer and investment policies based upon stochastic differential utilities

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Author Info
Nobuhiro Nakamura ()
Abstract

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File URL: http://hdl.handle.net/10.1007/s10690-006-9031-8
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Publisher Info
Article provided by Springer in its journal Asia-Pacific Financial Markets.

Volume (Year): 12 (2005)
Issue (Month): 4 (December)
Pages: 375-403
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Handle: RePEc:kap:apfinm:v:12:y:2005:i:4:p:375-403

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Web page: http://springerlink.metapress.com/link.asp?id=102851

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Related research
Keywords: Stochastic differential utility; Forward–backward stochastic differential equation; Lattice algorithm; Four-step scheme;

References listed on IDEAS
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  1. Duffie, Darrell & Skiadas, Costis, 1994. "Continuous-time security pricing : A utility gradient approach," Journal of Mathematical Economics, Elsevier, vol. 23(2), pages 107-131, March. [Downloadable!] (restricted)
  2. Duffie, Darrell & Epstein, Larry G, 1992. "Asset Pricing with Stochastic Differential Utility," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 5(3), pages 411-36. [Downloadable!] (restricted)
  3. Pauline Barrieu & Nicole El Karoui, 2002. "Reinsuring Climatic Risk Using Optimally Designed Weather Bonds," The Geneva Risk and Insurance Review, Palgrave Macmillan Journals, vol. 27(2), pages 87-113, December. [Downloadable!] (restricted)
  4. Duffie, Darrell & Epstein, Larry G, 1992. "Stochastic Differential Utility," Econometrica, Econometric Society, vol. 60(2), pages 353-94, March. [Downloadable!] (restricted)
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This page was last updated on 2009-12-4.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.