Optimal investment strategies in a CIR framework

Journal of Applied Probability

Volumn 37, Issue 4, 2000, Pages 936-946

  Deelstra, Griselda ^a,d   Grasselli, Martino ^b,d   Koehl, Pierre François ^c,e  

^a CREST   (United States)

^b CREST   (United States)

^c CDC   (France)

^d Centre for Research in Economics and Statistics   (France)

^e Caisse des Depots et Consignations   (France)

Author keywords

Consumption investment strategy; Stochastic interest rates; Stochastic optimization

Indexed keywords

EID: 0034337213     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1014843074     Document Type: Article

References (15)

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