A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates

@article{Korn2002ASC,
  title={A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates},
  author={Ralf Korn and Holger Kraft},
  journal={SIAM J. Control and Optimization},
  year={2002},
  volume={40},
  pages={1250-1269}
}
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. 
Highly Cited
This paper has 64 citations. REVIEW CITATIONS

From This Paper

Topics from this paper.

Citations

Publications citing this paper.

65 Citations

0510'02'05'09'13'17
Citations per Year
Semantic Scholar estimates that this publication has 65 citations based on the available data.

See our FAQ for additional information.

References

Publications referenced by this paper.
Showing 1-5 of 5 references

Optimal Portfolios, World Scienti c, Singapore

  • R. Mainz. Korn
  • Krylov, N
  • 1997
Highly Influential
12 Excerpts

Dynamic Asset Allocation and Fixed Income Management

  • ger, C. Berlin. S rensen
  • Journal of Financial and Quantitative Analysis
  • 1999

Optimal Portfolios with Bounded Value-at

  • uppelberg, R. Korn
  • 1998

An equilibrium characterisation of the term structure

  • O. Vasicek
  • Journal of Financial Economics
  • 1977

Optimal consumption and portfolio rules in a continuous - time model

  • R. C. Merton
  • Journal of Economic Theory
  • 1971
3 Excerpts

Similar Papers

Loading similar papers…