Solving long term optimal investment problems with Cox-Ingersoll-Ross interest rates (Q5482561)
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scientific article; zbMATH DE number 5050008
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| English | Solving long term optimal investment problems with Cox-Ingersoll-Ross interest rates |
scientific article; zbMATH DE number 5050008 |
Statements
28 August 2006
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large deviations control
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risk-sensitive control
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long-term investment
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power utility
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CIR-interest rates
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0.8556684851646423
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0.815928041934967
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0.8093082904815674
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0.8019018769264221
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0.7930831909179688
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