An investment and consumption problem with CIR interest rate and stochastic volatility

DOI10.1155/2013/219397zbMath1291.91189OpenAlexW2159423737WikidataQ58915599 ScholiaQ58915599MaRDI QIDQ2015242

Xi-Min Rong, Hao Chang

Publication date: 23 June 2014

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2013/219397

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (12)

Feedback optimal controllers for the Heston model ⋮ Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach ⋮ Defined contribution pension planning with the return of premiums clauses and HARA preference in stochastic environments ⋮ Optimal asset allocation under search frictions and stochastic interest rate ⋮ Legendre transform-dual solution for a class of investment and consumption problems with HARA utility ⋮ Optimal investment for insurers with the extended CIR interest rate model ⋮ Portfolio selection with liability and affine interest rate in the HARA utility framework ⋮ Optimal consumption-investment strategy under the vasicek model: HARA utility and Legendre transform ⋮ Optimal consumption and portfolio decision with convertible bond in affine interest rate and Heston's SV framework ⋮ Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework ⋮ Robust optimal strategies of DC pension plans with stochastic volatility and stochastic income under mean-variance criteria ⋮ Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework

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