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“Down-Side Risk” Probability Minimization Problem with Cox-Ingersoll-Ross’s Interest Rates


  • Hiroaki Hata



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  • Hiroaki Hata, 2011. "“Down-Side Risk” Probability Minimization Problem with Cox-Ingersoll-Ross’s Interest Rates," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(1), pages 69-87, March.
  • Handle: RePEc:kap:apfinm:v:18:y:2011:i:1:p:69-87 DOI: 10.1007/s10690-010-9121-5

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    References listed on IDEAS

    1. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
    2. Hiroaki Hata & Hideo Nagai & Shuenn-Jyi Sheu, 2010. "Asymptotics of the probability minimizing a "down-side" risk," Papers 1001.2131,
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    Cited by:

    1. O. S. Rozanova & G. S. Kambarbaeva, 2015. "Optimal strategies of investment in a linear stochastic model of market," Papers 1501.07124,
    2. Chang, Hao, 2015. "Dynamic mean–variance portfolio selection with liability and stochastic interest rate," Economic Modelling, Elsevier, vol. 51(C), pages 172-182.


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