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A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates

✍ Scribed by Korn, Ralf; Kraft, Holger

Book ID: 115522231
Publisher: Society for Industrial and Applied Mathematics
Year: 2002
Tongue: English
Weight: 212 KB
Volume: 40
Category: Article
ISSN: 0363-0129
DOI: 10.1137/s0363012900377791

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## Abstract In this paper, we assume that an investor can invest his/her wealth in a bond and a stock. In our wealth model, the stochastic interest rate is described by a Cox–Ingersoll–Ross (CIR) model, and the volatility of the stock is proportional to another CIR process. We obtain a closed‐form