Utility Maximization With Random Horizon: A Bsde Approach
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Blanchet-Scalliet, Christophette & El Karoui, Nicole & Jeanblanc, Monique & Martellini, Lionel, 2008. "Optimal investment decisions when time-horizon is uncertain," Journal of Mathematical Economics, Elsevier, vol. 44(11), pages 1100-1113, December.
- Bender, Christian & Denk, Robert, 2007. "A forward scheme for backward SDEs," Stochastic Processes and their Applications, Elsevier, vol. 117(12), pages 1793-1812, December.
- repec:dau:papers:123456789/9697 is not listed on IDEAS
- Vicky Henderson & Gechun Liang, 2014.
"Pseudo linear pricing rule for utility indifference valuation,"
Finance and Stochastics,
Springer, vol. 18(3), pages 593-615, July.
- Vicky Henderson & Gechun Liang, 2014. "Pseudo Linear Pricing Rule for Utility Indifference Valuation," Papers 1403.7830, arXiv.org.
- repec:dau:papers:123456789/1803 is not listed on IDEAS
- Ying Hu & Peter Imkeller & Matthias Muller, 2005. "Utility maximization in incomplete markets," Papers math/0508448, arXiv.org.
- Lepeltier, J. P. & San Martin, J., 1997. "Backward stochastic differential equations with continuous coefficient," Statistics & Probability Letters, Elsevier, vol. 32(4), pages 425-430, April.
- N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71.
- Bruno Bouchard & Huyên Pham, 2004. "Wealth-path dependent utility maximization in incomplete markets," Finance and Stochastics, Springer, vol. 8(4), pages 579-603, November.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Tahir Choulli & Sina Yansori, 2018. "Log-optimal portfolio and num\'eraire portfolio under random horizon," Papers 1810.12762, arXiv.org.
- Tahir Choulli & Sina Yansori, 2018. "Explicit description of all deflators for markets under random horizon," Papers 1803.10128, arXiv.org, revised Oct 2018.
More about this item
KeywordsQuadratic BSDEs; enlargement of filtration; credit risk;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:ijtafx:v:18:y:2015:i:07:n:s0219024915500454. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tai Tone Lim). General contact details of provider: http://www.worldscinet.com/ijtaf/ijtaf.shtml .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.