A stochastic control approach to portfolio problems with stochastic interest rates

A stochastic control approach to portfolio problems with stochastic interest rates

0.00 Avg rating0 Votes
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: ,
Keywords: portfolio management
Abstract:

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.

Reviews

Required fields are marked *. Your email address will not be published.