Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate
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Publication:2103521
DOI10.1007/s10436-022-00414-xzbMath1505.91356OpenAlexW4294053308MaRDI QIDQ2103521
Publication date: 14 December 2022
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-022-00414-x
backward stochastic differential equationdynamic optimalityCIR processmean-variance portfolio selectionVasicek interest rate
Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)
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