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

页码：1250 / 1269

页数：20

共 50 条

[31] Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility
Ogetbil, Orcan
Hientzsch, Bernhard
[J]. SIAM JOURNAL ON FINANCIAL MATHEMATICS, 2023, 14 (02): : 452 - 474
[32] FORWARD START OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES
Ahlip, Rehez
Rutkowski, Marek
[J]. INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2009, 12 (02) : 209 - 225
[33] Pricing American options under stochastic volatility and stochastic interest rates
Medvedev, Alexey
Scaillet, Olivier
[J]. JOURNAL OF FINANCIAL ECONOMICS, 2010, 98 (01) : 145 - 159
[34] Option pricing for a stochastic volatility Levy model with stochastic interest rates
Sattayatham, P.
Pinkham, S.
[J]. JOURNAL OF THE KOREAN STATISTICAL SOCIETY, 2013, 42 (01) : 25 - 36
[35] Bounds for present value functions with stochastic interest rates and stochastic volatility
De Schepper, A
Goovaerts, M
Dhaene, J
Kaas, R
Vyncke, D
[J]. INSURANCE MATHEMATICS & ECONOMICS, 2002, 31 (01): : 87 - 103
[36] Investigation of Multistage Stochastic Portfolio Optimization Problems
Galkina, O. A.
[J]. CYBERNETICS AND SYSTEMS ANALYSIS, 2016, 52 (06) : 857 - 866
[37] Study of convergence rates of numerical methods for stochastic control problems
Song, Q. S.
Yin, G.
[J]. PROCEEDINGS OF THE 46TH IEEE CONFERENCE ON DECISION AND CONTROL, VOLS 1-14, 2007, : 1162 - 1167
[38] A Stochastic Galerkin Method for Stochastic Control Problems
Lee, Hyung-Chun
Lee, Jangwoon
[J]. COMMUNICATIONS IN COMPUTATIONAL PHYSICS, 2013, 14 (01) : 77 - 106
[39] CLASS OF STOCHASTIC OPTIMAL-CONTROL PROBLEMS UNDER CONFLICT OF INTEREST
KUO, MCY
BURBANK, HM
[J]. PROCEEDINGS OF THE INSTITUTION OF ELECTRICAL ENGINEERS-LONDON, 1976, 123 (05): : 453 - 456
[40] An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints
Bonami, P.
Lejeune, M. A.
[J]. OPERATIONS RESEARCH, 2009, 57 (03) : 650 - 670

← 1 2 3 4 5 →