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“Down-Side Risk” Probability Minimization Problem with Cox-Ingersoll-Ross’s Interest Rates

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Abstract

With a bank account and a risky stock, both of which are affected by Cox-Ingersoll-Ross’s interest rates, we treat two “down-side risk” minimization problems of the large deviation probability for long-term investment. Explicit solutions of the problems are given by solving the associated risk-sensitive portfolio optimization problems.

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Authors and Affiliations

  1. Institute of Mathematics, Academia Sinica, No. 1, Section 4, Roosevelt Road, Taipei, 106-17, Taiwan

    Hiroaki Hata

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  1. Hiroaki Hata
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Correspondence to Hiroaki Hata.

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Hata, H. “Down-Side Risk” Probability Minimization Problem with Cox-Ingersoll-Ross’s Interest Rates. Asia-Pac Financ Markets 18, 69–87 (2011). https://doi.org/10.1007/s10690-010-9121-5

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  • DOI: https://doi.org/10.1007/s10690-010-9121-5

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