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Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 13 (2009)
Issue (Month): 1 (January)
Pages: 121-150
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Handle: RePEc:spr:finsto:v:13:y:2009:i:1:p:121-150

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Related research

Keywords: Backward stochastic differential equations (BSDEs); Continuous filtration; Quadratic growth; Utility maximization; Portfolio constraints; 91B28; 91B16; 60H10; C60; G11;

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

1. David Heath & Eckhard Platen & Martin Schweizer, 2001. "A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets," Mathematical Finance, Blackwell Publishing, vol. 11(4), pages 385-413. [Downloadable!] (restricted)
2. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December. [Downloadable!] (restricted)
   Other versions:
   • R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers 58, Massachusetts Institute of Technology (MIT), Department of Economics.
3. Sara Biagini & Marco Frittelli, 2005. "Utility maximization in incomplete markets for unbounded processes," Finance and Stochastics, Springer, vol. 9(4), pages 493-517, October. [Downloadable!] (restricted)

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This page was last updated on 2009-11-25.