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Book chapters (2002), New Directions in Mathematical Finance, John Wiley & Sons, Inc., pp. 100-115

Dynamic, Deterministic and Optimal Portfolio Strategies in a Mean-variance Framework under Stochastic Interest Rates

BAJEUX-BESNAINOU I., PORTAIT Roland

The purpose of this article is to study the impact of continuous rebalancing on optimal portfolio selection when the investor follows the mean-variance criteria, the interest rate follows an Ornstein-Uhlenbeck process and the stock price dynamics depend on the interest rate. The model is therefore appropriate to the analysis of the optimal allocation in three securities, Stocks, Bonds and Cash.

BAJEUX-BESNAINOU, I. and PORTAIT, R. (2002). Dynamic, Deterministic and Optimal Portfolio Strategies in a Mean-variance Framework under Stochastic Interest Rates. In: New Directions in Mathematical Finance. 1st ed. John Wiley & Sons, Inc. pp. 100-115.