Browsing MST-Department of Statistics and Actuarial Science by Author "7dab1f52-480d-4951-83fe-4e1a365e2555"

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A Continous-Time Optimal Investment and Consumption Strategy for Commercial Banks under the Hamilton-Jacob-Bellman Optimization Technique with Bounded Interest Rates

Chepng’eno, Rono Daisy (Kenyatta University, 2021)

The CIR model is used to model interest rates in this project, which analyses an investment and consumption problem under bounded interest rate conditions. Our goal is to determine the optimal investment and consumption ...