An investment and consumption problem with CIR interest rate and stochastic volatility
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Cites work
- A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A martingale approach to optimal portfolios with jump-diffusions
- A stability result for the HARA class with stochastic interest rates.
- A theory of the term structure of interest rates
- An Application of Stochastic Control Theory to Financial Economics
- An Optimal Investment/Consumption Model with Borrowing
- An equilibrium characterization of the term structure
- An optimal consumption model with stochastic volatility
- An optimal portfolio model with stochastic volatility and stochastic interest rate
- Finite horizon optimal investment and consumption with transaction costs
- Hedging in incomplete markets with HARA utility
- Optimal Consumption-Investment Problems in Incomplete Markets with Stochastic Coefficients
- Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
- Optimal consumption and portfolio choice with borrowing constraints
- Optimal investment and consumption with transaction costs
- Optimal investment problem with stochastic interest rate and stochastic volatility: maximizing a power utility
- Optimal investment strategies in a CIR framework
- Optimal investment strategies in the presence of a minimum guarantee.
- Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
- Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
- Optimum consumption and portfolio rules in a continuous-time model
- Stochastic optimal control of DC pension funds
Cited in
(20)- Legendre transform-dual solution for a class of investment and consumption problems with HARA utility
- Portfolio selection with liability and affine interest rate in the HARA utility framework
- Robust optimal strategies of DC pension plans with stochastic volatility and stochastic income under mean-variance criteria
- Optimal investment problem with stochastic interest rate and stochastic volatility: maximizing a power utility
- Feedback optimal controllers for the Heston model
- Optimal investment strategies in a CIR framework
- An optimal investment and consumption model with stochastic interest rate on a finite time horizon
- Legendre transform-dual solution for investment and consumption problem under the Vasicek model
- Optimal asset allocation under search frictions and stochastic interest rate
- Optimal consumption and portfolio decision with convertible bond in affine interest rate and Heston's SV framework
- Optimal investment and consumption under a continuous-time cointegration model with exponential utility
- The Legendre transform-dual-asymptotic solution for optimal investment strategy with random incomes
- Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework
- Optimal investment-consumption policies selection for Heston model
- Optimal investment for insurers with the extended CIR interest rate model
- Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
- 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 consumption-investment strategy under the vasicek model: HARA utility and Legendre transform
- Consumption and investment with interest rate risk
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