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- Title
Mean–variance efficiency with extended CIR interest rates.
- Authors
Ferland, René; Watier, François
- Abstract
We study a mean–variance investment problem in a continuous-time framework where the interest rates follow Cox–Ingersoll–Ross dynamics. We construct a mean–variance efficient portfolio through the solutions of backward stochastic differential equations. We also give sufficient conditions under which an explicit analytic expression is available for the mean–variance optimal wealth of the investor. Copyright © 2009 John Wiley & Sons, Ltd.
- Subjects
STOCHASTIC differential equations; DYNAMIC programming; ORTHOGRAPHIC projection; HYPOTHESIS; INTEREST rates
- Publication
Applied Stochastic Models in Business & Industry, 2010, Vol 26, Issue 1, p71
- ISSN
1524-1904
- Publication type
Academic Journal
- DOI
10.1002/asmb.767