Continuous-Time Mean-Variance Portfolio Selection Problem with Ho-Lee Stochastic Interest Rates

摘要

This paper investigates a continuous-time mean-variance portfolio selection problem with Ho-Lee stochastic interest rates. Compared with the mean-variance model with deterministic interest rate, a verification theorem without the classical Lipschitz and growth conditions is required to solve our portfolio selection problem. The optimal investment strategy, the value function and the efficient frontier are derived in closed-form. Some existing results are obtained as special cases in our paper.