Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach
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Publication:6098178
DOI10.1007/s10203-022-00374-xzbMath1526.91025OpenAlexW4297903163WikidataQ114691527 ScholiaQ114691527MaRDI QIDQ6098178
Publication date: 12 June 2023
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10203-022-00374-x
backward stochastic differential equationlogarithmic utilitypower utilityaffine diffusion processCIR risk premium
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)
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