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JOURNALS // Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika // Archive

Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 2013 Number 1, Pages 3–10 (Mi vmumm370)

Mathematics

Efficient portfolio dependent on Cox–Ingersoll–Ross interest rate

G. S. Kambarbaeva, O. S. Rozanova

Lomonosov Moscow State University, Faculty of Mechanics and Mathematics

Abstract: We solve a certain problem of portfolio optimization in the case of the asset prices trends depending on the bank interest rate governed by the Cox–Ingersoll–Ross dynamics. This work continues a series of papers where the interest rate is modeled by a linear stochastic differential equation with a constant volatility.

Key words: efficient portfolio, interest rate, Cox–Ingersoll–Ross model.

UDC: 51-77

Received: 18.05.2011


 English version:
Moscow University Mathematics Bulletin, Moscow University Måchanics Bulletin, 2013, 68:1, 18–25

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