Archivio Istituzionale della RicercaWe consider the problem of maximizing the expected utility of terminal wealth with a terminal random liability when the underlying asset price process is a continuous semimartingale. The optimal strategy is characterized in terms of a semimartingale forward backward system of equations. The results cover the cases of exponential, logarithmic and power utilities, which we analyze as illustrative examples.
Forward backward semimartingale systems for utility maximization / Santacroce, Marina; Trivellato, Barbara. - In: SIAM JOURNAL ON CONTROL AND OPTIMIZATION. - ISSN 0363-0129. - STAMPA. - 52:6(2014), pp. 3517-3537. [10.1137/130941778]
Forward backward semimartingale systems for utility maximization
SANTACROCE, MARINA;TRIVELLATO, BARBARA
2014
Abstract
We consider the problem of maximizing the expected utility of terminal wealth with a terminal random liability when the underlying asset price process is a continuous semimartingale. The optimal strategy is characterized in terms of a semimartingale forward backward system of equations. The results cover the cases of exponential, logarithmic and power utilities, which we analyze as illustrative examples.
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https://hdl.handle.net/11583/2602187
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