Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Economics, Econometrics and Finance,Finance
Link
https://link.springer.com/content/pdf/10.1007/s10203-022-00374-x.pdf
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3. Chacko, G., Viceira, L.M.: Dynamic consumption and portfolio choice with stochastic volatility in incomplete markets. Rev. Financ. Stud. 18, 1369–1402 (2005)
4. Chang, H., Li, X.: Optimal consumption and portfolio decision with convertible bond in affine stochastic interest rate and Heston’s SV framework. Math. Probl. Eng. (2016). https://doi.org/10.1155/2016/4823451
5. Chang, H., Rong, X.: An investment and consumption problem with CIR interest rate and stochastic volatility. Abstr. Appl. Anal. (2013). https://doi.org/10.1155/2013/219397
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