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    • BSDE Approach to Utility Maximization with Square-Root Factor Processes 

      Lin, Hongcan; Saunders, David; Weng, Chengguo (Elsevier, 2020-03)
      We consider the utility-based portfolio selection problem in a continuous-time setting. We assume the market price of risk depends on a stochastic factor that satisfies an affine-form, square-root, Markovian model. This ...


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