Optimal Portfolio Selection of Mean-Variance Utility with Stochastic Interest Rate
In order to tackle the problem of how investors in financial markets allocate wealth to stochastic interest rate governed by a nested stochastic differential equations (SDEs), this paper employs the Nash equilibrium theory of the subgame perfect equilibrium strategy and propose an extended Hamilton-...
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| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2020-01-01
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| Series: | Journal of Function Spaces |
| Online Access: | http://dx.doi.org/10.1155/2020/3153297 |
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