Optimal consumption and investment strategies with stochastic interest rates
✍ Scribed by Claus Munk; Carsten Sørensen
- Book ID
- 116614421
- Publisher
- Elsevier Science
- Year
- 2004
- Tongue
- English
- Weight
- 319 KB
- Volume
- 28
- Category
- Article
- ISSN
- 0378-4266
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
## Abstract We use the statistical model of bandit processes to formulate and solve two kinds of optimal investment and consumption problems. The payoffs from the investment are dividend payments with fixed return rates, but the payment frequency is stochastic following a Poisson distribution. The
## Abstract In this paper, we assume that an investor can invest his/her wealth in a bond and a stock. In our wealth model, the stochastic interest rate is described by a Cox–Ingersoll–Ross (CIR) model, and the volatility of the stock is proportional to another CIR process. We obtain a closed‐form