OPTIMAL INVESTMENT DECISIONS FOR A PORTFOLIO WITH A ROLLING HORIZON BOND AND A DISCOUNT BOND

DOI10.1142/S0219024905003335zbMath1137.91430MaRDI QIDQ5714646

Tomasz R. Bielecki, Stanley R. Pliska, Jiong-min Yong

Publication date: 15 December 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

Bellman equationRiccati equationoptimal portfoliostochastic interest ratesdiscount bondrolling horizon bond

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (7)

Valuation and risk assessment of participating life insurance in the presence of credit risk ⋮ The generalized cash balance problem: optimization‐based one step ahead optimal control ⋮ Hedging longevity risk in defined contribution pension schemes ⋮ Indefinite risk-sensitive control ⋮ Robust risk‐sensitive control ⋮ Existence of optimal consumption strategies in markets with longevity risk ⋮ The investor problem based on the HJM model

Cites Work

• Martingales and stochastic integrals in the theory of continuous trading
• Stochastic Interest Rates and the Bond-Stock Mix
• Self-Financing Trading Strategies for Sliding, Rolling-Horizon, and Consol Bonds
• A Theory of the Term Structure of Interest Rates
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
• Risk-Sensitive ICAPM With Application to Fixed-Income Management
• An equilibrium characterization of the term structure
• Stochastic linear quadratic optimal control problems

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