Portfolio Problems with Logarithmic Utility and Stochastic Interest Rates (II)

摘要：

This paper is a continuation of part (I). In part (I) of this paper an optimization model of a portfolio problem with logarithmic utility is considered, where an investor can invest in a savings account, and bonds, trying to maximize her utility from terminal wealth. We focus on the case where the short interest rate is stochastic. In this sequel, a mixed stock and bond portfolio problem is further studied and solved completely, where the investor can invest in a savings account, stocks, and bonds. The standard method from stochastic control is used to obtain the value function and the optimal investment strategy under the assumption that short interest rate takes two special forms resulting from Ho-Lee and Vasicek model, respectively.

作者: Chengxin Luo Desheng Li

作者单位: Department of Mathematics Shenyang Normal University Shenyang, Liaoning, 110034

会议类型: 国际会议

会议名称: Fourth International Conference on Impulsive and Hybrid Dynamical Systems(ICIHDS 2007)(第四届国际脉冲和混合动力系统学术会议)

会议地点: 南宁

会议语种:英文

在线出版日期: 2007-07-20（万方平台首次上网日期，不代表论文的发表时间）