Report in Wirtschaftsmathematik (WIMA Report)
- 2000 (1) (entfernen)
- A stochastic control approach to portfolio problems with stochastic interest rates (2000)
- 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.