Faculty of Economics and Business Administration Publications Database

A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates

Korn, Ralf
Volume: 40
Number: 4
Pages: 1250 - 1269
Link External Source: Online Version
Year: 2001
Keywords: Investments; Interest rates; Stochastic processes
Abstract: We consider investment problems where an investor can invest in a savings account, stocks, and bonds and tries to maximize her utility from terminal wealth. In contrast to the classical Merton problem, we assume a stochastic interest rate. To solve the corresponding control problems it is necessary to prove a verification theorem without the usual Lipschitz assumptions.