Forward-backward systems for expected utility maximization

Ulrich Horst, Ying Hu, Peter Imkeller, Anthony Réveillac and Jianing Zhang

No 2011-061, SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

Abstract: In this paper we deal with the utility maximization problem with a general utility function. We derive a new approach in which we reduce the utility maximization problem with general utility to the study of a fully-coupled Forward-Backward Stochastic Differential Equation (FBSDE).

JEL-codes: C61 D52 D53 (search for similar items in EconPapers)
Date: 2011
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Journal Article: Forward–backward systems for expected utility maximization (2014)
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