2014/04/22 by Jakub Trybu la, Jakub Trybuła, Trybuła, Jakub +2
Economics, Econometrics and Finance · Mathematics · #91A15 #91G10 #91G30 #93E20 #Capital Investment and Risk Analysis #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Portfolio Management (q-fin.PM) #Probability (math.PR) #Stochastic processes and financial applications #math.PR #msc:91A15 #msc:91G10 #msc:91G30 #msc:93E20 #q-fin.PM
paper · pdf · doi:10.48550/arxiv.1404.5408
arxiv created 2014/04/22 · openalex publication_date 2014/04/22 · arxiv updated 2014/04/23 · openalex created_date 2021/02/01 · openalex updated_date 2026/07/28
This is a follow up of our previous paper - Trybuła and Zawisza \citeTryZaw, 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.