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Advances in Mathematical Economics pp 231–255Cite as

Solving long term optimal investment problems with Cox-Ingersoll-Ross interest rates

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Part of the book series: Advances in Mathematical Economics ((MATHECON,volume 8))

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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Author information

Authors and Affiliations

  1. Graduate School of Engineering Science, Osaka University, Toyonaka, Osaka, 560-8531, Japan

    Hiroaki Hata

  2. Institute of Economic Research, Kyoto University, Yoshida-Honmachi, Sakyo-ku, Kyoto, 606-8501, Japan

    Jun Sekine

Authors
  1. Hiroaki Hata
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  2. Jun Sekine
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Editor information

Editors and Affiliations

  1. Graduate School of Mathematical Sciences, University of Tokyo, 3-8-1 Komaba, Meguro-ku, Tokyo, 153-0041, Japan

    Shigeo Kusuoka (Professor) (Professor)

  2. Graduate Faculty of Economics, Hitotsubashi University, Kunitachi, Tokyo, 186-8601, Japan

    Akira Yamazaki (Professor) (Professor)

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© 2006 Springer-Verlag

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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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