Mean–variance efficiency with extended CIR interest rates

✍ Scribed by René Ferland; François Watier

• Book ID: 101653919
• Publisher: John Wiley and Sons
• Year: 2010
• Tongue: English
• Weight: 163 KB
• Volume: 26
• Category: Article
• ISSN: 1524-1904
• DOI: 10.1002/asmb.767

✦ Synopsis

Abstract

We study a mean–variance investment problem in a continuous‐time framework where the interest rates follow Cox–Ingersoll–Ross dynamics. We construct a mean–variance efficient portfolio through the solutions of backward stochastic differential equations. We also give sufficient conditions under which an explicit analytic expression is available for the mean–variance optimal wealth of the investor. Copyright © 2009 John Wiley & Sons, Ltd.