摘要
It is studied that the stochastic control problem of maxi-mizing expected utility from terminal wealth and/or con-sumption,when the portfolio is constrained to take val-ues in a given closed,convex subset of R,and in the pr-esence of a higher interest rate for borrowing.The set-ting is that of a continuous-time,Ito process model for the underlying asset prices.The existence of portfolio op-timization under constraints and with higher interest ratefor borrowing than for lending is discussed,and the so-lution for logarithmic utility function is presented.
It is studied that the stochastic control problem of maximizing expected utility from terminal wealth and/or consumption, when the portfolio is constrained to take values in a given closed, convex subset of R, and in the presence of a higher interest rate for borrowing. The setting is that of a continuous - time, Ito process model for the underlying asset prices. The existence of portfolio optimization under constraints and with higher interest rate for borrowing than for lending is discussed, and the solution for logarithmic utility function is presented.
