OPTIMAL INVESTMENT DECISIONS FOR A PORTFOLIO WITH A ROLLING HORIZON BOND AND A DISCOUNT BOND

DOI10.1142/S0219024905003335zbMath1137.91430MaRDI QIDQ5714646

Tomasz R. Bielecki, Jiong-min Yong, Stanley R. Pliska

Publication date: 15 December 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

Bellman equation; Riccati equation; optimal portfolio; stochastic interest rates; discount bond; rolling horizon bond

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

49L20: Dynamic programming in optimal control and differential games

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

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Cites Work

• Martingales and stochastic integrals in the theory of continuous trading
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• A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
• Risk-Sensitive ICAPM With Application to Fixed-Income Management
• An equilibrium characterization of the term structure
• Stochastic linear quadratic optimal control problems