Continuous-Time Mean-Variance Portfolio Selection Problem with Ho-Lee Stochastic Interest Rates

DOI

10.2991/amms-17.2017.5How to use a DOI?

Keywords

mean-variance portfolio selection; Ho-Lee stochastic interest rate; efficient frontier; stochastic control.

Abstract

This paper investigates a continuous-time mean-variance portfolio selection problem with Ho-Lee stochastic interest rates. Compared with the mean-variance model with deterministic interest rate, a verification theorem without the classical Lipschitz and growth conditions is required to solve our portfolio selection problem. The optimal investment strategy, the value function and the efficient frontier are derived in closed-form. Some existing results are obtained as special cases in our paper.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Chuangwei Lin
AU  - Li Zeng
PY  - 2017/11
DA  - 2017/11
TI  - Continuous-Time Mean-Variance Portfolio Selection Problem with Ho-Lee Stochastic Interest Rates
BT  - Proceedings of the 2017 International Conference on Applied Mathematics, Modeling and Simulation (AMMS 2017)
PB  - Atlantis Press
SP  - 20
EP  - 26
SN  - 1951-6851
UR  - https://doi.org/10.2991/amms-17.2017.5
DO  - 10.2991/amms-17.2017.5
ID  - Lin2017/11
ER  -