Abstract
A large deviations control problem is treated for a long term optimal investment on a financial market with a bank account and a risky stock, both of which are affected by a stochastic factor described as Cox-Ingersoll-Ross’s interest rates. The solution is presented in explicit form by investigating the effective domain of the associated risk-sensitive control problem in risk-seeking case.
The authors are grateful to Professor H. Nagai of Osaka University and Professor K. Kubota of Musashi University for fruitful discussions and suggestions. Further, they thank an editor, Professor S. Kusuoka of the University of Tokyo, for his helpful comments, which improve the contents and the presentation of the paper.
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Hata, H., Sekine, J. (2006). Solving long term optimal investment problems with Cox-Ingersoll-Ross interest rates. In: Kusuoka, S., Yamazaki, A. (eds) Advances in Mathematical Economics. Advances in Mathematical Economics, vol 8. Springer, Tokyo. https://doi.org/10.1007/4-431-30899-7_9
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DOI: https://doi.org/10.1007/4-431-30899-7_9
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