Optimal investment problem with stochastic interest rate and stochastic volatility: Maximizing a power utility

DOI10.1002/asmb.759zbMath1224.91140OpenAlexW4249950142MaRDI QIDQ3077479

Rong Wu, Jinzhu Li

Publication date: 22 February 2011

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.759

zbMATH Keywords

stochastic volatilitystochastic interest rateCox-Ingersoll-Ross modelpower utilityoptimal investment problem

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Portfolio theory (91G10)

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