Optimal asset allocation under search frictions and stochastic interest rate
DOI10.1080/14697688.2023.2199781zbMath1520.91415MaRDI QIDQ6110871
Robert J. Elliott, Ning Wang, Song-Ping Zhu
Publication date: 2 August 2023
Published in: Quantitative Finance (Search for Journal in Brave)
finite difference methodstochastic controlstochastic interest ratesearch frictionsoptimal asset allocationexpected utility maximization
Numerical methods (including Monte Carlo methods) (91G60) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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