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.

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Metadaten
Author:Ralf Korn, Holger Kraft
URN (permanent link):urn:nbn:de:hbz:386-kluedo-10805
Serie (Series number):Report in Wirtschaftsmathematik (WIMA Report) (71)
Document Type:Preprint
Language of publication:English
Year of Completion:2000
Year of Publication:2000
Publishing Institute:Technische Universität Kaiserslautern
Tag:optimal portfolios ; stochastic interest rate ; verication theorem
Faculties / Organisational entities:Fachbereich Mathematik
DDC-Cassification:510 Mathematik

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