On Stochastic Parabolic Model for Term Structure Dynamics and Mean-variance Efficient Portfolio

ShinIchi AIHARA; Arunabha BAGCHI

doi:10.5687/sss.2002.194

Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications

Online ISSN : 2188-4749
Print ISSN : 2188-4730

The 33rd ISCIE International Symposium on Stochastic Systems Theory and Its Applications (Oct. 2001, Tochigi)

On Stochastic Parabolic Model for Term Structure Dynamics and Mean-variance Efficient Portfolio

ShinIchi AIHARA, Arunabha BAGCHI

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JOURNAL FREE ACCESS

2002 Volume 2002 Pages 194-198

DOI https://doi.org/10.5687/sss.2002.194

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Abstract

We consider the term structure modeling by using a appropriate stochastic parabolic system with boundary noises. After finding a sufficient condition for the no arbitrage opportunity, we solve the mean-variance optimal control problem in the incomplete market.

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