Bond Portfolio Selection in the Cox-Ingersoll-Ross Framework by the Probabilistic Criterion-Reference-Cited by-同舟云学术

Bond Portfolio Selection in the Cox-Ingersoll-Ross Framework by the Probabilistic Criterion

Published:2023-12-28 Issue:4 Volume:13 Page:140-152
ISSN:2219-3758
Container-title:Моделирование и анализ данных
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Author:

Sobol V.R.¹^ORCID,Torishniy R.O.¹^ORCID

Affiliation:

1. Moscow Aviation Institute (National Research University) (MAI)

Abstract

<p>The problem of bond portfolio selection is considered in Cox-Ingersoll-Ross framework. The probability function is chosen as an optimality criterion, which leads to a stochastic optimization problem, The problem is solved using a smooth approximation of the probability function and its derivatives via gradient projection method. An example is provided.</p>

Publisher

Moscow State University of Psychology and Education

Subject

Polymers and Plastics,General Environmental Science

Link

https://psyjournals.ru/journals/mda/archive/2023_n4/Sobol_Torishnyi.pdf

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