Portfolio rules with log consumption utility and Cox-Ingersoll-Ross interest rate
DOI10.1007/S10598-015-9266-1zbMATH Open1331.91155OpenAlexW2014181533MaRDI QIDQ5964521FDOQ5964521
Authors: V. A. Babin 
Publication date: 29 February 2016
Published in: Computational Mathematics and Modeling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10598-015-9266-1
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optimal consumptionupper and lower solution methodCox-Ingersoll-Ross modellog utility functionfinancial portfolio
Dynamic programming (90C39) Portfolio theory (91G10) Utility theory (91B16) Dynamic programming in optimal control and differential games (49L20) Applications of optimal control and differential games (49N90) Interest rates, asset pricing, etc. (stochastic models) (91G30) Optimal stochastic control (93E20)
Cites Work
- The pricing of options and corporate liabilities
- Two singular diffusion problems
- A theory of the term structure of interest rates
- An equilibrium characterization of the term structure
- Stochastic differential equations. An introduction with applications.
- Optimum consumption and portfolio rules in a continuous-time model
- Title not available (Why is that?)
- An Intertemporal General Equilibrium Model of Asset Prices
- An Application of Stochastic Control Theory to Financial Economics
- STOCHASTIC PORTFOLIO OPTIMIZATION WITH LOG UTILITY
- Title not available (Why is that?)
Cited In (6)
- Optimal consumption problem in the Vasicek model
- Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation
- Portfolio optimization problems with logarithmic utility in CIR interest rate model
- Optimal portfolio and consumption rule with a CIR model under HARA utility
- Efficient portfolio dependent on Cox-Ingersoll-Ross interest rate
- Optimal strategies of consumption and portfolio problem with interest spreads of deposit and loan
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