A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
From MaRDI portal
Publication:4537784
Recommendations
- Dynamic portfolio selection with stochastic interest rates for quadratic utility maximizing
- An Application of Stochastic Control Theory to Financial Economics
- Optimal investment problem with stochastic interest rate and stochastic volatility: maximizing a power utility
- scientific article; zbMATH DE number 2015387
- An optimal portfolio model with stochastic volatility and stochastic interest rate
Cited in
(86)- scientific article; zbMATH DE number 5991605 (Why is no real title available?)
- Optimal portfolios with stochastic interest rates and defaultable assets.
- Guarantee valuation in notional defined contribution pension systems
- The Lie symmetry approach on (1+2)-dimensional financial models
- Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk
- Dynamic derivative strategies with stochastic interest rates and model uncertainty
- OPTIMAL PORTFOLIOS WITH DEFAULTABLE SECURITIES A FIRM VALUE APPROACH
- Legendre transform-dual solution for investment and consumption problem under the Vasicek model
- Optimal control design for a class of quantum stochastic systems with financial applications
- Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
- Pandemic portfolio choice
- A consumption-investment problem modelled as a discounted Markov decision process
- Dynamic portfolio selection with stochastic interest rates for quadratic utility maximizing
- HARA utility maximization in a Markov-switching bond-stock market
- Optimal longevity risk transfer and investment strategies
- How to invest optimally in corporate bonds: a reduced-form approach
- Optimal consumption and portfolio choice with ambiguous interest rates and volatility
- Optimal investment-reinsurance policy with stochastic interest and inflation rates
- scientific article; zbMATH DE number 5896874 (Why is no real title available?)
- Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
- Portfolio optimization in stochastic markets
- An optimal consumption problem for general factor models
- Problems of mathematical finance by stochastic control methods
- Constant proportion portfolio insurance in defined contribution pension plan management
- Equilibrium strategy for mean-variance-utility portfolio selection under Heston's SV model
- Nonrecursive separation of risk and time preferences
- OPTIMAL PORTFOLIOS WITH STOCHASTIC SHORT RATE: PITFALLS WHEN THE SHORT RATE IS NON-GAUSSIAN OR THE MARKET PRICE OF RISK IS UNBOUNDED
- Portfolio selection in stochastic markets with exponential utility functions
- A note on the worst case approach for a market with a stochastic interest rate
- Dynamic portfolio optimization with a defaultable security and regime-switching
- scientific article; zbMATH DE number 2015387 (Why is no real title available?)
- OPTIMAL ASSET ALLOCATION WITH STOCHASTIC INTEREST RATES IN REGIME-SWITCHING MODELS
- Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
- Dynamic asset allocation under VaR constraint with stochastic interest rates
- Management of a pension fund under mortality and financial risks
- Optimal investment problem with stochastic interest rate and stochastic volatility: maximizing a power utility
- Equilibrium investment strategy for multi-period DC pension funds with stochastic interest rate and regime switching
- A deductive approach to the solution of the problem of optimal pairs trading from the viewpoint of stochastic control with time-dependent parameters
- Robust equilibrium strategies in a defined benefit pension plan game
- Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
- A theory of bond portfolios
- On optimal portfolio choice under stochastic interest rates
- Portfolio problems stopping at first hitting time with application to default risk
- What is the impact of stock market contagion on an investor's portfolio choice?
- Portfolio selection with liability and affine interest rate in the HARA utility framework
- Optimal investment with stochastic interest rate and default risk
- An investigation of the theory of bank portfolio allocation within a discrete stochastic framework using optimal control techniques
- Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate
- Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability
- Derivation of a new Merton's optimal problem presented by fractional stochastic stock price and its applications
- Portfolio management with stochastic interest rates and inflation ambiguity
- Equilibrium and precommitment mean-variance portfolio selection problem with partially observed price index and multiple assets
- ON THE STABILITY OF CONTINUOUS‐TIME PORTFOLIO PROBLEMS WITH STOCHASTIC OPPORTUNITY SET
- Optimal consumption-investment strategy under the vasicek model: HARA utility and Legendre transform
- Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate
- Optimal consumption and portfolio decision with convertible bond in affine interest rate and Heston's SV framework
- Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks
- Optimal investment in multidimensional Markov-modulated affine models
- Optimal asset-liability management with liquidity constraints and stochastic interest rates in the expected utility framework
- An efficient gradient projection method for stochastic optimal control problems
- An Application of Stochastic Control Theory to Financial Economics
- An investment and consumption problem with CIR interest rate and stochastic volatility
- CLOSED‐FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS
- Time consistent policy of multi-period mean-variance
- Portfolio selection in stochastic markets with HARA utility functions
- Inter‐temporal mutual‐fund management
- Consistent curves in the -world: optimal bonds portfolio
- Investment strategies in the presence of a minimum performance guarantee under stochastic interest rate
- Optimal cross-currency mortgage decisions
- scientific article; zbMATH DE number 5519396 (Why is no real title available?)
- scientific article; zbMATH DE number 1120271 (Why is no real title available?)
- Optimal consumption problem in the Vasicek model
- OPTIMAL PORTFOLIO CONSTRUCTION UNDER PARTIAL INFORMATION FOR A BALANCED FUND
- scientific article; zbMATH DE number 5952229 (Why is no real title available?)
- Mean-variance problem for an insurer with dependent risks and stochastic interest rate in a jump-diffusion market
- A martingale approach for asset allocation with derivative security and hidden economic risk
- <scp>Event‐triggered</scp> adaptive stabilization control of stochastic nonlinear systems with unmodeled dynamics
- scientific article; zbMATH DE number 2133122 (Why is no real title available?)
- Risk minimizing strategies for a portfolio of interest-rate securities
- The investor problem based on the HJM model
- Multi-period dynamic bond portfolio optimization utilizing a stochastic interest rate model
- Maximizing the probability of a perfect hedge in the case of stochastic interest rate
- Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach
- Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time
- Static Markowitz mean-variance portfolio selection model with long-term bonds
- A stochastic control perspective on term structure models with roll-over risk
This page was built for publication: A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4537784)