A stochastic control approach to portfolio problems with stochastic interest rates

SIAM Journal on Control and Optimization

Volumn 40, Issue 4, 2002, Pages 1250-1269

  Korn, Ralf ^a   Kraft, Holger ^a  

^a Rheinland Pfälzische Technische Universität Kaiserslautern Landau   (Germany)

Author keywords

Optimal portfolios; Stochastic interest rate; Verification theorem

Indexed keywords

DECISION MAKING; INVESTMENTS; PROBLEM SOLVING; THEOREM PROVING;

OPTIMAL PORTFOLIOS; STOCHASTIC INTEREST RATE; VERIFICATION THEOREM;

STOCHASTIC CONTROL SYSTEMS;

EID: 0036338113     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0363012900377791     Document Type: Article

References (18)

1. Inquiries on the applications of multidimensional stochastic processes to financial investments
2. A theory of the term structure of interest rates
3. Term structure movements and pricing interest contingent claims
4. Pricing interest-rate-derivative securities
5. Lifetime portfolio selection under uncertainty: The continuous case
6. Optimal consumption and portfolio rules in a continuous-time model
7. Erratum
8. Dynamic asset allocation and fixed income management
9. An equilibrium characterisation of the term structure