𝔖 Bobbio Scriptorium
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STOCHASTIC INTEREST RATES AND INVESTMENT APPRAISAL: A REPLY

✍ Scribed by F.M. Wilkes


Book ID
111104988
Publisher
John Wiley and Sons
Year
1980
Tongue
English
Weight
93 KB
Volume
7
Category
Article
ISSN
0306-686X

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Optimal investment problem with stochast
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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