A stochastic control approach to portfolio problems with stochastic interest rates

被引：99
|
作者：
Korn, R [1 ]
Kraft, H
机构：
[1] Univ Kaiserslautern, Dept Math, D-67653 Kaiserslautern, Germany
[2] Fraunhofer ITWM, Dept Finance, D-67653 Kaiserslautern, Germany
来源：
SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2001年 / 40卷 / 04期
关键词：
optimal portfolios; stochastic interest rate; verification theorem;
D O I：
10.1137/S0363012900377791
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
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.
引用
收藏
页码：1250 / 1269
页数：20
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