Portfolio rules with log consumption utility and Cox-Ingersoll-Ross interest rate

DOI10.1007/s10598-015-9266-1zbMath1331.91155OpenAlexW2014181533MaRDI QIDQ5964521

V. A. Babin

Publication date: 29 February 2016

Published in: Computational Mathematics and Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10598-015-9266-1

zbMATH Keywords

upper and lower solution methodfinancial portfolioCox-Ingersoll-Ross modellog utility functionoptimal consumption

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Applications of optimal control and differential games (49N90) Utility theory (91B16) Dynamic programming (90C39) Optimal stochastic control (93E20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Optimum consumption and portfolio rules in a continuous-time model
• Two singular diffusion problems
• A Theory of the Term Structure of Interest Rates
• An Intertemporal General Equilibrium Model of Asset Prices
• An Application of Stochastic Control Theory to Financial Economics
• An equilibrium characterization of the term structure
• STOCHASTIC PORTFOLIO OPTIMIZATION WITH LOG UTILITY
• Stochastic differential equations. An introduction with applications.
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