Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate
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DOI: 10.1007/s10436-022-00414-x
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More about this item
Keywords
Mean-variance portfolio selection; Vasicek interest rate; CIR process; Dynamic optimality; Backward stochastic differential equation;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
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