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

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  • Jakub Trybu{l}a
  • Dariusz Zawisza

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.

Suggested Citation

  • Jakub Trybu{l}a & Dariusz Zawisza, 2014. "Continuous time portfolio choice under monotone preferences with quadratic penalty - stochastic interest rate case," Papers 1404.5408, arXiv.org.
    • Handle: RePEc:arx:papers:1404.5408
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    References listed on IDEAS

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