Continuous time portfolio choice under monotone preferences with quadratic penalty - stochastic interest rate case

Jakub Trybu{\l}a and Dariusz Zawisza

Papers from arXiv.org

Abstract: This is a follow up of our previous paper - Trybu{\l}a and Zawisza \cite{TryZaw}, where we considered a modification of a monotone mean-variance functional in continuous time in stochastic factor model. In this article we address the problem of optimizing the mentioned functional in a market with a stochastic interest rate. We formulate it as a stochastic differential game problem and use Hamilton-Jacobi-Bellman-Isaacs equations to derive the optimal investment strategy and the value function.

Date: 2014-04
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1404.5408 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1404.5408

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().