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.