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The optimal portfolio problem for a bank account, single risky stock and a rolling horizon bond is developed. The stochastic short-term interest rate with the Cox-Ingersoll-Ross (CIR) dynamics affects the prices of the stock and rolling horizon bond. The investment objective is maximizing expected CRRA utility of terminal wealth. The problem has been solved by the stochastic dynamic programming principle...
Suppose that a market consists of a foreign exchange deposit and a risky stock, the optimal portfolio problem with consumption is formulated under the continuous-time mean- variance frame. By using the stochastic linear-square control theory, the explicit optimal trading strategies and the closed-form efficient frontier are derived. The numerical example shows that with the increase of the consumption...
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