## A stochastic control approach to portfolio problems with stochastic interest rates

• 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.

Author: Ralf Korn, Holger Kraft urn:nbn:de:hbz:386-kluedo-10805 Report in Wirtschaftsmathematik (WIMA Report) (71) Preprint English 2000 2000 Technische Universität Kaiserslautern 2000/09/18 optimal portfolios ; stochastic interest rate ; verication theorem Fachbereich Mathematik 5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011

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