An optimal portfolio model with stochastic volatility and stochastic interest rate

DOI10.1016/j.jmaa.2010.09.055zbMath1202.91302OpenAlexW2065890367MaRDI QIDQ615916

Eun-Jung Noh, Jeong-Hoon Kim

Publication date: 7 January 2011

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2010.09.055

zbMATH Keywords

Hamilton-Jacobi-Bellman equationasymptoticsstochastic volatilityportfolio optimizationstochastic interest

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Portfolio theory (91G10)

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Cites Work

• An optimal consumption model with stochastic volatility
• Controlled Markov processes and viscosity solutions
• Nonlinear elliptic boundary-value problems in unbounded domains
• An Application of Stochastic Control Theory to Financial Economics
• STOCHASTIC PORTFOLIO OPTIMIZATION WITH LOG UTILITY
• Stochastic differential equations. An introduction with applications.
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