An Investor’s Investment Plan with Stochastic Interest Rate under the CEV Model and the Ornstein-Uhlenbeck Process
The aim of this paper is to maximize an investor’s terminal wealth which exhibits constant relative risk aversion (CRRA). Considering the fluctuating nature of the stock market price, it is imperative for investors to study and develop an effective investment plan that considers the volatility of t...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Nigerian Society of Physical Sciences
2021-08-01
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| Series: | Journal of Nigerian Society of Physical Sciences |
| Subjects: | |
| Online Access: | https://journal.nsps.org.ng/index.php/jnsps/article/view/172 |