Portfolio rules with log consumption utility and Cox-Ingersoll-Ross interest rate

DOI10.1007/S10598-015-9266-1MaRDI QIDQ5964521zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

optimal consumptionupper and lower solution methodCox-Ingersoll-Ross modellog utility functionfinancial portfolio

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 3905579 (Why is no real title available?)
• scientific article; zbMATH DE number 3725517 (Why is no real title available?)
• A theory of the term structure of interest rates
• An Application of Stochastic Control Theory to Financial Economics
• An Intertemporal General Equilibrium Model of Asset Prices
• An equilibrium characterization of the term structure
• Optimum consumption and portfolio rules in a continuous-time model
• STOCHASTIC PORTFOLIO OPTIMIZATION WITH LOG UTILITY
• Stochastic differential equations. An introduction with applications.
• The pricing of options and corporate liabilities
• Two singular diffusion problems

Cited in

(6)

• Portfolio optimization problems with logarithmic utility in CIR interest rate model
• Optimal consumption problem in the Vasicek 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
• Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation

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