Mean–variance efficiency with extended CIR interest rates (Q5391296)
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scientific article; zbMATH DE number 5875040
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mean–variance efficiency with extended CIR interest rates |
scientific article; zbMATH DE number 5875040 |
Statements
Mean–variance efficiency with extended CIR interest rates (English)
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6 April 2011
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mean-variance portfolio
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continuous-time framework
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extended CIR model
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backward stochastic differential equations
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Riccati equations
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