Continuous time portfolio choice under monotone preferences with quadratic penalty - stochastic interest rate case
Portfolio Management
2014-04-23 v1 Probability
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.
Keywords
Cite
@article{arxiv.1404.5408,
title = {Continuous time portfolio choice under monotone preferences with quadratic penalty - stochastic interest rate case},
author = {Jakub Trybuła and Dariusz Zawisza},
journal= {arXiv preprint arXiv:1404.5408},
year = {2014}
}