TY - INPR
A1 - Korn, Ralf
A1 - Kraft, Holger
T1 - A stochastic control approach to portfolio problems with stochastic interest rates
N2 - 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 averi cation theorem without the usual Lipschitz assumptions.
T3 - Report in Wirtschaftsmathematik (WIMA Report) - 71
KW - optimal portfolios
KW - stochastic interest rate
KW - verication theorem
Y1 - 2000
UR - https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/1142
UR - https://nbn-resolving.org/urn:nbn:de:hbz:386-kluedo-10805
ER -