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Mean–variance efficiency with extended CIR interest rates

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  • René Ferland
  • François Watier

Abstract

We study a mean–variance investment problem in a continuous‐time framework where the interest rates follow Cox–Ingersoll–Ross dynamics. We construct a mean–variance efficient portfolio through the solutions of backward stochastic differential equations. We also give sufficient conditions under which an explicit analytic expression is available for the mean–variance optimal wealth of the investor. Copyright © 2009 John Wiley & Sons, Ltd.

Suggested Citation

  • René Ferland & François Watier, 2010. "Mean–variance efficiency with extended CIR interest rates," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 26(1), pages 71-84, January.
    • Handle: RePEc:wly:apsmbi:v:26:y:2010:i:1:p:71-84
    DOI: 10.1002/asmb.767
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    References listed on IDEAS

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