Optimal investment problem with stochastic interest rate and stochastic volatility: Maximizing a power utility
Author:
Publisher
Wiley
Subject
Management Science and Operations Research,General Business, Management and Accounting,Modeling and Simulation
Reference8 articles.
1. Optimal consumption and portfolio rules in a continuous-time model;Merton;Journal of Economic Theory,1971
2. A solution approach to valuation with unhedgeable risks;Zariphopoulou;Finance and Stochastics,2001
3. Liu J. Dynamic portfolio choice and risk aversion. Working Paper, UCLA, Los Angeles, 2001.
4. Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility;Kraft;Quantitative Finance,2005
5. A stochastic control approach to portfolio problems with stochastic interest rates;Korn;SIAM Journal on Control and Optimization,2001
Cited by 14 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Optimal strategy in CIR model and modified constant elasticity of variance;International Journal of Financial Engineering;2024-07-25
2. Defined Contribution Pension Planning with the Return of Premiums Clauses and HARA Preference in Stochastic Environments;Acta Mathematicae Applicatae Sinica, English Series;2023-04
3. Optimal Reinsurance-Investment Strategies under a Stochastic Model;Pure Mathematics;2023
4. The Optimal Reinsurance-Investment Problem Considering the Joint Interests of an Insurer and a Reinsurer under Hara Utility;Acta Mathematica Scientia;2022-10-18
5. Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach;Decisions in Economics and Finance;2022-09-20
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3