Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
Online ISSN : 2188-4749
Print ISSN : 2188-4730
第33回ISCIE「確率システム理論と応用」国際シンポジウム(2001年10月, 栃木)
On Stochastic Parabolic Model for Term Structure Dynamics and Mean-variance Efficient Portfolio
ShinIchi AIHARAArunabha BAGCHI
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2002 年 2002 巻 p. 194-198

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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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© 2002 ISCIE Symposium on Stochastic Systems Theory and Its Applications
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