EconPapers    
Economics at your fingertips  
 

Optimal risk transfer and investment policies based upon stochastic differential utilities

Nobuhiro Nakamura ()

Asia-Pacific Financial Markets, 2005, vol. 12, issue 4, pages 375-403

Keywords: Stochastic differential utility; Forward–backward stochastic differential equation; Lattice algorithm; Four-step scheme (search for similar items in EconPapers)

Downloads: (external link)
http://hdl.handle.net/10.1007/s10690-006-9031-8 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Access Statistics for this article

Asia-Pacific Financial Markets is edited by Ryozo Miura

More articles in Asia-Pacific Financial Markets from Springer
Series data maintained by Christopher F. Baum ().

 
Page updated 2008-07-07
Handle: RePEc:kap:apfinm:v:12:y:2005:i:4:p:375-403