|
|||||
|
|
Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach |
|
| Authors: | Zhang Yumo |
| Institution: | 1.Department of Mathematical Sciences, University of Copenhagen, Universitetsparken 5, 2100, Copenhagen, Denmark ; |
| Abstract: | Decisions in Economics and Finance - This paper investigates optimal investment problems in the presence of stochastic interest rates and stochastic volatility under the expected utility... |
| Keywords: | |
| 本文献已被 SpringerLink 等数据库收录！ | |