Sign in
Back
Optimal investment in a market with random interest rate for borrowing: an explicit closed-form solution
Conference proceeding

Optimal investment in a market with random interest rate for borrowing: an explicit closed-form solution

Abdullah Aljalal, Bujar Gashi and IEEE
2022 8th International Conference on Control, Decision and Information Technologies (CoDIT), Vol.1, pp.764-769
17/05/2022
DOI: https://doi.org/10.1109/CoDIT55151.2022.9804053

Abstract

Closed-form solutions Economic indicators Information technology Investment Nonlinear dynamical systems Stochastic processes
We consider the problem of optimal investment in a market with random interest rate for borrowing. This represents an optimal stochastic control problem with a nonlinear system dynamics. We solve this problem under the assumption of coupled Hull-White type model for the interest rates. An explicit closed-form solution is derived for the power and logarithmic utility functions from terminal wealth.

Metrics

1 Record Views

Details