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

Mean–variance efficiency with extended CIR interest rates.

Ferland, René; Watier, François