Optimal risk transfer and investment policies based upon stochastic differential utilities

Article Properties
Journal Category
Social Sciences
Economic theory
Demography
Economics as a science
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Refrences
Title Journal Journal Categories Citations Publication Date
10.1023/A:1021944109402 2002c
Optimal design of derivatives in illiquid markets* Quantitative Finance
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A dynamic maximum principle for the optimization of recursive utilities under constraints The Annals of Applied Probability
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