An investment and consumption problem with CIR interest rate and stochastic volatility
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Publication:2015242
DOI10.1155/2013/219397zbMATH Open1291.91189OpenAlexW2159423737WikidataQ58915599 ScholiaQ58915599MaRDI QIDQ2015242FDOQ2015242
Authors: Hao Chang, Ximin Rong 
Publication date: 23 June 2014
Published in: Abstract and Applied Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2013/219397
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Cites Work
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- An optimal consumption model with stochastic volatility
- Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
- An optimal portfolio model with stochastic volatility and stochastic interest rate
- Stochastic optimal control of DC pension funds
- Finite horizon optimal investment and consumption with transaction costs
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- An Application of Stochastic Control Theory to Financial Economics
- Optimal investment problem with stochastic interest rate and stochastic volatility: maximizing a power utility
- Optimal consumption and portfolio choice with borrowing constraints
- Hedging in incomplete markets with HARA utility
- Optimal Consumption-Investment Problems in Incomplete Markets with Stochastic Coefficients
- Optimal investment strategies in a CIR framework
- A martingale approach to optimal portfolios with jump-diffusions
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
- Optimal investment strategies in a CIR framework
- Feedback optimal controllers for the Heston model
- An optimal investment and consumption model with stochastic interest rate on a finite time horizon
- Optimal asset allocation under search frictions and stochastic interest rate
- Legendre transform-dual solution for investment and consumption problem under the Vasicek model
- Optimal investment and consumption under a continuous-time cointegration model with exponential utility
- Optimal consumption and portfolio decision with convertible bond in affine interest rate and Heston's SV framework
- The Legendre transform-dual-asymptotic solution for optimal investment strategy with random incomes
- Optimal investment-consumption policies selection for Heston model
- Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework
- 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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