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Optimal asset allocation under search frictions and stochastic interest rate - MaRDI portal

Optimal asset allocation under search frictions and stochastic interest rate (Q6110871)

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scientific article; zbMATH DE number 7721486
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English
Optimal asset allocation under search frictions and stochastic interest rate
scientific article; zbMATH DE number 7721486

    Statements

    title
    Optimal asset allocation under search frictions and stochastic interest rate (English)
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    author
    Ning Wang
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    Song-Ping Zhu
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    Robert J. Elliott
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    publication date
    2 August 2023
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    zbMATH Keywords
    stochastic control
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    optimal asset allocation
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    search frictions
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    stochastic interest rate
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    expected utility maximization
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    finite difference method
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    cites work
    Q4550917
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    Q3993078
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    Q4255599
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    Identifiers

    Mathematics Subject Classification ID
    91G30
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    93E20
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    49L20
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    91G60
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    65M06
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    zbMATH DE Number
    7721486
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