Optimization problem under change of regime of interest rate (Q2816571)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6618922
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Optimization problem under change of regime of interest rate |
scientific article; zbMATH DE number 6618922 |
Statements
Optimization problem under change of regime of interest rate (English)
0 references
23 August 2016
0 references
portfolio optimization
0 references
power utility
0 references
stochastic interest rate
0 references
dual problem
0 references
backward stochastic differential equations (BSDEs)
0 references
enlarged filtration
0 references
0 references
0.8131424784660339
0 references
0.7521482706069946
0 references
0.7491483092308044
0 references
0.7448776960372925
0 references
0.7339473962783813
0 references
