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An optimal investment/consumption problem with higher borrowing rate

✍ Scribed by Wu Xiongwei; Xu Wensheng; Chen Shuping

Book ID
107502108
Publisher
SP Editorial Committee of Applied Mathematics - A Journal of Chinese Universities
Year
1998
Tongue
English
Weight
342 KB
Volume
13
Category
Article
ISSN
1005-1031

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## Abstract We consider a financial market consisting of a risky asset and a riskless one, with a constant or random investment horizon. The interest rate from the riskless asset is constant, but the relative return rate from the risky asset is stochastic with an unknown parameter in its distributi