Optimal portfolio strategies with a liability and random risk: the case of different lending and borrowing rates.

DOI10.1007/BF02935749MaRDI QIDQ1880472zbMATH OpenFDO

Authors Zhaojun Yang, Lihong Huang

Publication date 28 September 2004

Published in Journal of Applied Mathematics and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02935749

zbMATH Keywords

bankruptcydifferent lending and borrowing ratesHJB equationsoptimal portfolio strategiesprobability approachstochastic control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cites work

• An Optimal Investment/Consumption Model with Borrowing
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• scientific article; zbMATH DE number 3720745 (Why is no real title available?)
• scientific article; zbMATH DE number 3736679 (Why is no real title available?)
• scientific article; zbMATH DE number 613246 (Why is no real title available?)
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• OPTIMAL TRADING STRATEGY WITH PARTIAL INFORMATION AND THE VALUE OF INFORMATION: THE SIMPLIFIED AND GENERALIZED MODELS
• Oscillations of certain nonlinear delay parabolic boundary-value problems
• Oscillatory behavior of the second-order nonlinear neutral difference equations
• Portfolio Selection with Transaction Costs
• Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time

Cited in

(5)

• Optimal strategies in a risky debt context
• Calculation of Investment Portfolios with Risk Free Borrowing and Lending
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• Minimizing the probability of lifetime ruin: two riskless assets with transaction costs
• Real options maximizing survival probability under incomplete markets

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