| Article ID: | iaor2004487 |
| Country: | United States |
| Volume: | 40 |
| Issue: | 4 |
| Start Page Number: | 1250 |
| End Page Number: | 1269 |
| Publication Date: | Dec 2001 |
| Journal: | SIAM Journal on Control and Optimization |
| Authors: | Korn R., Kraft H. |
| Keywords: | portfolio management |
We consider investment problems where an investor can invest in a savings account, stocks, and bonds and tries to maximize her utility from terminal wealth. In contrast to the classical Merton problem, we assume a stochastic interest rate. To solve the corresponding control problems it is necessary to prove a verification theorem without the usual Lipschitz assumptions.