Mean–variance efficiency with extended CIR interest rates

DOI10.1002/asmb.767zbMath1224.91136OpenAlexW4235725215MaRDI QIDQ5391296

François Watier, René Ferland

Publication date: 6 April 2011

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.767

zbMATH Keywords

Riccati equationsbackward stochastic differential equationsmean-variance portfoliocontinuous-time frameworkextended CIR model

Mathematics Subject Classification ID

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

Related Items

Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability ⋮ Optimal portfolio and consumption rule with a CIR model under HARA utility ⋮ Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model ⋮ Optimal investment for insurers with the extended CIR interest rate model ⋮ Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate ⋮ Mean-variance portfolio selection under a constant elasticity of variance model ⋮ Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate ⋮ Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks ⋮ Robust optimal strategies of DC pension plans with stochastic volatility and stochastic income under mean-variance criteria ⋮ Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate

Cites Work

• Adapted solution of a backward stochastic differential equation
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• Mean-variance hedging in continuous time
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• Optimal investment strategies in a CIR framework
• Dynamic Asset Allocation in a Mean-Variance Framework
• A Theory of the Term Structure of Interest Rates
• Variance-Optimal Hedging in Discrete Time
• Mean-Variance Portfolio Selection with Random Parameters in a Complete Market