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Optimal investment strategies in an international economy with stochastic interest rates

✍ Scribed by Linda Sandris Larsen

Book ID
113664342
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
442 KB
Volume
19
Category
Article
ISSN
1059-0560

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Optimal investment problem with stochastic interest rate and stochastic volatility: Maximizing a power utility
✍ Jinzhu Li; Rong Wu πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 126 KB

## 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