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dc.contributor.authorLin, Hongcan
dc.contributor.authorSaunders, David
dc.contributor.authorWeng, Chengguo 17:08:43 (GMT) 17:08:43 (GMT)
dc.descriptionThe final publication is available at Elsevier via © 2020. This manuscript version is made available under the CC-BY-NC-ND 4.0 license
dc.description.abstractWe consider the utility-based portfolio selection problem in a continuous-time setting. We assume the market price of risk depends on a stochastic factor that satisfies an affine-form, square-root, Markovian model. This financial market framework includes the classical geometric Brownian motion, CEV model, and Heston’s model as special cases. Adopting the BSDE approach, we obtain closed-form solutions for the optimal portfolio strategies and value functions for the logarithmic, power, and exponential utility functions.en
dc.relation.ispartofseriesOperations Research Letters;48(2)
dc.subjectbackward stochastic differential equationsen
dc.subjectutility maximizationen
dc.subjectsquare-root factor processen
dc.subjectRiccati equationen
dc.titleBSDE Approach to Utility Maximization with Square-Root Factor Processesen
dcterms.bibliographicCitationLin, H., Saunders, D., & Weng, C. (2020). BSDE approach to utility maximization with square-root factor processes. Operations Research Letters, 48(2), 130–135.
uws.contributor.affiliation1Faculty of Mathematicsen
uws.contributor.affiliation2Statistics and Actuarial Scienceen

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