Portfolio optimization problems with logarithmic utility in CIR interest rate model

MaRDI QIDQ2992958zbMATH OpenFDO

Authors Yujie Cai, Chun-li Li

Publication date 10 August 2016

zbMATH Keywords

Cox-Ingersoll-Ross interest ratedynamic programming equationlogarithmic utilityoptimal discounted consumptionoptimal investment

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Portfolio theory (91G10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

• Portfolio rules with log consumption utility and Cox-Ingersoll-Ross interest rate
• STOCHASTIC PORTFOLIO OPTIMIZATION WITH LOG UTILITY
• Portfolio optimization models on infinite-time horizon
• Optimal investment strategies in a CIR framework
• Solving long term optimal investment problems with Cox-Ingersoll-Ross interest rates

Cited in

(7)

• Optimal investment strategies in a CIR framework
• Optimization problem under change of regime of interest rate
• A concise characterization of optimal consumption with logarithmic preferences
• Efficient portfolio dependent on Cox-Ingersoll-Ross interest rate
• On consumption/investment problems with long-term time-average utilities
• Solving long term optimal investment problems with Cox-Ingersoll-Ross interest rates
• Portfolio rules with log consumption utility and Cox-Ingersoll-Ross interest rate

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