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An optimal portfolio model with stochastic volatility and stochastic interest rate
7 references·4 citing·38 second hop
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this work references cited by second hop

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  • 1991Continuous-Time Finance.1,788 cited
  • 2000Derivatives in Financial Markets with Stochastic Volatility916 cited
  • 20041. Stochastic Differential Equations203 cited
  • 2003An optimal consumption model with stochastic volatility122 cited
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Cited by

  • 2016Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability51 cited
  • 2012Asset allocation under stochastic interest rate with regime switching31 cited
  • 2016Optimal consumption–investment strategy under the Vasicek model: HARA utility and Legendre transform29 cited
  • 2018Data driven confidence intervals for diffusion process using double smoothing empirical likelihood23 cited

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