Optimal investment strategies in a CIR framework
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Publication:2725291
DOI10.1239/jap/1014843074zbMath0989.91040OpenAlexW1995589708MaRDI QIDQ2725291
Pierre-François Koehl, Martino Grasselli, Griselda Deelstra
Publication date: 18 July 2002
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/7e4f14bb1d921070384a8643a87df496d2262cf1
stochastic optimizationstochastic interest rateconsumption-investment strategyCox-Ingersoll-Ross dynamics
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