BSDE Approach to Utility Maximization with Square-Root Factor Processes
| dc.contributor.author | Lin, Hongcan | |
| dc.contributor.author | Saunders, David | |
| dc.contributor.author | Weng, Chengguo | |
| dc.date.accessioned | 2023-11-07T17:08:43Z | |
| dc.date.available | 2023-11-07T17:08:43Z | |
| dc.date.issued | 2020-03 | |
| dc.description | The final publication is available at Elsevier via https://doi.org/10.1016/j.orl.2020.01.001. © 2020. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/ | en |
| dc.description.abstract | We 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.identifier.uri | https://doi.org/10.1016/j.orl.2020.01.001 | |
| dc.identifier.uri | http://hdl.handle.net/10012/20090 | |
| dc.language.iso | en | en |
| dc.publisher | Elsevier | en |
| dc.relation.ispartofseries | Operations Research Letters;48(2) | |
| dc.subject | backward stochastic differential equations | en |
| dc.subject | utility maximization | en |
| dc.subject | square-root factor process | en |
| dc.subject | Riccati equation | en |
| dc.title | BSDE Approach to Utility Maximization with Square-Root Factor Processes | en |
| dc.type | Article | en |
| dcterms.bibliographicCitation | Lin, H., Saunders, D., & Weng, C. (2020). BSDE approach to utility maximization with square-root factor processes. Operations Research Letters, 48(2), 130–135. https://doi.org/10.1016/j.orl.2020.01.001 | en |
| uws.contributor.affiliation1 | Faculty of Mathematics | en |
| uws.contributor.affiliation2 | Statistics and Actuarial Science | en |
| uws.peerReviewStatus | Reviewed | en |
| uws.scholarLevel | Faculty | en |
| uws.typeOfResource | Text | en |
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