A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
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چکیده
منابع مشابه
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 a veri cation theorem without the usual Lipschitz assumptions.
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The research reported in this document was supported by the U. S. Army Research Office, the U. S. Air Force Office of Scientific Research, and the U. S. Office of Naval Research under the Joint Services Electronics Program by Contract Nonr-1866 (16), and by the Aeronautical Division of the Minneapolis-Honeywell Regulator Company, Boston, Massachusetts. Reproduction in whole or in part is permit...
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ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2002
ISSN: 0363-0129,1095-7138
DOI: 10.1137/s0363012900377791