A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
نویسندگان
چکیده
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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عنوان ژورنال:
- SIAM J. Control and Optimization
دوره 40 شماره
صفحات -
تاریخ انتشار 2002