Efficient portfolio depending on the Cox-Ingersoll-Ross interest rate / G. S. Kambarbaeva, O. S. Rozanova. //Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika. 2013. № 1. P. 3-10 [Moscow Univ. Math. Bulletin. Vol. 68, N 1, 2013.].
We solve a certain problem of portfolio optimization in the case of the asset prices trends depending on the bank interest rate governed by the Cox-Ingersoll-Ross dynamics. This work continues a series of papers where the interest rate is modeled by a linear stochastic differential equation with a constant volatility.
Key words: efficient portfolio, interest rate, Cox-Ingersoll-Ross model.