Efficient portfolio dependent on Cox-Ingersoll-Ross interest rate

DOI10.3103/S002713221301004XzbMATH Open1273.91424OpenAlexW1988668333MaRDI QIDQ355333FDOQ355333

Authors: G. S. Kambarbaeva 

Publication date: 24 July 2013

Published in: Moscow University Mathematics Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s002713221301004x

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Mathematics Subject Classification ID

Portfolio theory (91G10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Two singular diffusion problems
• A theory of the term structure of interest rates
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• An equilibrium characterization of the term structure
• Strategic asset allocation
• Affine processes and applications in finance
• The Fokker-Planck equation. Methods of solution and applications.
• Risk-sensitive dynamic asset management
• Risk sensitive asset allocation
• Some explicit formulas for calculation of conditional mathematical expectations of random variables and their applications
• Composition of an efficient portfolio in the Bielecki and Pliska market model
• Suppression of unbounded gradients in an SDE associated with the Burgers equation
• Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation
• THE NON-VISCOUS BURGERS EQUATION ASSOCIATED WITH RANDOM POSITION IN COORDINATE SPACE: A THRESHOLD FOR BLOW UP BEHAVIOUR
• On effects of stochastic regularization for the pressureless gas dynamics
• On dependence of volatility on return for stochastic volatility models
• Solving long term optimal investment problems with Cox-Ingersoll-Ross interest rates
• ``Down-side risk probability minimization problem with Cox-Ingersoll-Ross's interest rates

Cited In (2)

• Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation
• ``Down-side risk probability minimization problem with Cox-Ingersoll-Ross's interest rates

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