Efficient portfolio dependent on Cox-Ingersoll-Ross interest rate

DOI10.3103/S002713221301004XMaRDI QIDQ355333zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(2)

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

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