IHEDIOHA, SILAS A.
(2017)
*OPTIMAL ASSET ALLOCATION PROBLEM FOR AN INVESTOR WITH ORNSTEN-UHLEBECK STOCHASTIC INTEREST RATE MODEL.*
Asian Journal of Mathematics and Computer Research, 19 (1).
pp. 33-41.

## Abstract

This work considered that an investor’s portfolio is comprised of two assets- a risky stock which price process is driven by the geometric Brownian motion and a risk-free asset with Ornstein-Uhlenbeck Stochastic interest rate of return, where consumption, taxes, transaction costs and dividends are in involved. The application of the maximum principle obtained the Hamilton-Jacobi-Bellman (HJB) equation for the value function on which elimination of variable dependency was applied to obtain the close form solution of the optimal investment strategy.

Item Type: | Article |
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Subjects: | Eurolib Press > Mathematical Science |

Depositing User: | Managing Editor |

Date Deposited: | 12 Jan 2024 05:10 |

Last Modified: | 12 Jan 2024 05:10 |

URI: | http://info.submit4journal.com/id/eprint/3252 |