OPTIMAL PORTFOLIOS WITH STOCHASTIC SHORT RATE: PITFALLS WHEN THE SHORT RATE IS NON-GAUSSIAN OR THE MARKET PRICE OF RISK IS UNBOUNDED

DOI10.1142/S0219024909005452zbMath1201.91188OpenAlexW3124527166MaRDI QIDQ3648635

Holger Kraft

Publication date: 27 November 2009

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024909005452

zbMATH Keywords

portfolio optimizationCox-Ingersoll-Ross modelVasicek modelstochastic interest rateslognormal short rate modelssquared Gaussian short rate model

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (3)

OPTIMAL CROSS-CURRENCY MORTGAGE DECISIONS ⋮ Existence of optimal consumption strategies in markets with longevity risk ⋮ Optimal investment-reinsurance policy with stochastic interest and inflation rates

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