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 |
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URN: | urn:nbn:de:hbz:386-kluedo-10805 |
Series (Serial Number): | Report in Wirtschaftsmathematik (WIMA Report) (71) |
Document Type: | Preprint |
Language of publication: | English |
Year of Completion: | 2000 |
Year of first Publication: | 2000 |
Publishing Institution: | Technische Universität Kaiserslautern |
Date of the Publication (Server): | 2000/09/18 |
Tag: | optimal portfolios; stochastic interest rate; verication theorem |
Faculties / Organisational entities: | Kaiserslautern - Fachbereich Mathematik |
DDC-Cassification: | 5 Naturwissenschaften und Mathematik / 510 Mathematik |
Licence (German): | Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011 |