Continuous time portfolio choice under monotone preferences with quadratic penalty - stochastic interest rate case
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.
Year of publication: |
2014-04
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Authors: | Jakub Trybu{\l}a ; Zawisza, Dariusz |
Institutions: | arXiv.org |
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