Optimal portfolio strategies with a liability and random risk: the case of different lending and borrowing rates.

DOI10.1007/BF02935749zbMath1056.60064MaRDI QIDQ1880472

Zhaojun Yang, Li-Hong Huang

Publication date: 28 September 2004

Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)

zbMATH Keywords

stochastic controlbankruptcyHJB equationsprobability approachdifferent lending and borrowing ratesoptimal portfolio strategies

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (2)

Real options maximizing survival probability under incomplete markets ⋮ MINIMIZING THE PROBABILITY OF LIFETIME RUIN: TWO RISKLESS ASSETS WITH TRANSACTION COSTS

Cites Work

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• OPTIMAL TRADING STRATEGY WITH PARTIAL INFORMATION AND THE VALUE OF INFORMATION: THE SIMPLIFIED AND GENERALIZED MODELS
• An Optimal Investment/Consumption Model with Borrowing
• Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Portfolio Selection with Transaction Costs

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