CLOSED‐FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS

DOI10.1111/j.1467-9965.2005.00250.xzbMath1138.91432OpenAlexW2078991714MaRDI QIDQ5700131

Marcel Rindisbacher, Jérôme B. Detemple

Publication date: 27 October 2005

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2005.00250.x

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (17)

Consumption and investment with interest rate risk ⋮ HARA frontiers of optimal portfolios in stochastic markets ⋮ Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time ⋮ Equilibrium investment strategy for multi-period DC pension funds with stochastic interest rate and regime switching ⋮ SENSITIVITY ANALYSIS OF NONLINEAR BEHAVIOR WITH DISTORTED PROBABILITY ⋮ High dimensional mean-variance optimization through factor analysis ⋮ A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL ⋮ Portfolio selection: a review ⋮ Nonmyopic optimal portfolios in viable markets ⋮ Optimal portfolio selection strategies under some constraints ⋮ Utility maximization with convex constraints and partial information ⋮ OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION ⋮ STOCHASTIC PORTFOLIO OPTIMIZATION WITH LOG UTILITY ⋮ A martingale approach for asset allocation with derivative security and hidden economic risk ⋮ ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY ⋮ A stochastic control model of investment, production, and consumption on a finite horizon ⋮ The investor problem based on the HJM model

Cites Work

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• Optimal investment strategies in a CIR framework
• A generalized clark representation formula, with application to optimal portfolios
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• A General Approach to Hedging Options: Applications to Barrier and Partial Barrier Options

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