Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time

DOI10.1016/j.cam.2023.115103zbMath1518.91252MaRDI QIDQ6099493

Zhenpeng Tang, Wei-Ping Wu, Ke Zhou, Zhicheng Li

Publication date: 20 June 2023

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

partial differential equationsportfolio optimizationcontinuous time modelsdownside riskstochastic interest rates

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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