Optimal asset allocation under search frictions and stochastic interest rate

Numerical methods (including Monte Carlo methods) (91G60) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

Unnamed Item
Unnamed Item
Unnamed Item
Dynamic portfolio choice with frictions
A theory of Markovian time-inconsistent stochastic control in discrete time
On time-inconsistent stochastic control in continuous time
Interest rate models -- theory and practice. With smile, inflation and credit
Strategic asset allocation
A stability result for the HARA class with stochastic interest rates.
Dynamic portfolio choice with return predictability and transaction costs
An investment and consumption problem with CIR interest rate and stochastic volatility
Neural networks-based backward scheme for fully nonlinear PDEs
Robust utility maximization under model uncertainty via a penalization approach
Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models
Optimal portfolio of low liquid assets with a log-utility function
Optimal investment in an illiquid market with search frictions and transaction costs
Optimal investment strategies in a CIR framework
Dynamic Asset Allocation in a Mean-Variance Framework
A stochastic volatility model and optimal portfolio selection
INVESTING WITH LIQUID AND ILLIQUID ASSETS
DeepXDE: A Deep Learning Library for Solving Differential Equations
MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
Portfolio Selection with Transaction Costs
Lifetime investment and consumption with recursive preferences and small transaction costs
The relaxed investor and parameter uncertainty

This page was built for publication: Optimal asset allocation under search frictions and stochastic interest rate