Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate (Q2103521): Difference between revisions
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Latest revision as of 01:50, 17 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate |
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Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate (English)
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14 December 2022
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mean-variance portfolio selection
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Vasicek interest rate
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CIR process
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dynamic optimality
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backward stochastic differential equation
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