A stochastic control approach to portfolio problems with stochastic interest rates

被引：100

作者：

Korn, R ^{[1
]}

Kraft, H

机构：

[1] Univ Kaiserslautern, Dept Math, D-67653 Kaiserslautern, Germany

[2] Fraunhofer ITWM, Dept Finance, D-67653 Kaiserslautern, Germany

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2001年 / 40卷 / 04期

关键词：

optimal portfolios; stochastic interest rate; verification theorem;

D O I：

10.1137/S0363012900377791

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

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 a verification theorem without the usual Lipschitz assumptions.

引用

页码：1250 / 1269

页数：20

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