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Optimal investment strategies in a CIR framework
Published online by Cambridge University Press: 14 July 2016
Abstract
We study an optimal investment problem in a continuous-time framework where the interest rates follow Cox-Ingersoll-Ross dynamics. Closed form formulae for the optimal investment strategy are obtained by assuming the completeness of financial markets and the CRRA utility function. In particular, we study the behaviour of the solution when time approaches the terminal date.
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- Copyright © by the Applied Probability Trust 2000
Footnotes
The views expressed in this paper are those of the authors and do not reflect those of the CDC.
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