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An optimal portfolio model with stochastic volatility and stochastic interest rate · Study

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ArticleAn optimal portfolio model with stochastic volatility and stochastic interest rate

Eunjung Noh2010

OA

Articlebronze2010

An optimal portfolio model with stochastic volatility and stochastic interest rate

Eunjung Noh · Jeong‐Hoon Kim

46 citations·0/0 files stored·Journal of Mathematical Analysis and Applications

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Stochastic processes and financial applications Risk and Portfolio Optimization Probability and Risk Models

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References

2003Stochastic Differential Equations 2005Controlled Markov Processes and Viscosity Solutions 1991Continuous-Time Finance.2000Derivatives in Financial Markets with Stochastic Volatility 20041. Stochastic Differential Equations 2003An optimal consumption model with stochastic volatility 2004An Application of Stochastic Control Theory to Financial Economics

Cited by

2016Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability 2012Asset allocation under stochastic interest rate with regime switching 2016Optimal consumption–investment strategy under the Vasicek model: HARA utility and Legendre transform 2018Data driven confidence intervals for diffusion process using double smoothing empirical likelihood

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Year2010

Typearticle

Published2010-09-30

VenueJournal of Mathematical Analysis and Applications

ISSN-L0022-247X

Languageen

Citations46

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jmaa.2010.09.055

openalex_workW2065890367

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