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 forward backward semimartingale system of equations. The results cover the cases of exponential, logarithmic, and power utilities, which we analyze as illustrative examples.
Full Text 
Sign-in/Register to access full text options
Sign-in/Register to access full text options 
Published version (
Free)
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
