Geodesic
Efficient portfolio dependent on Cox--Ingersoll--Ross interest rate
Vestnik Moskovskogo universiteta. Matematika, mehanika, no. 1 (2013), pp. 3-10

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We solve a certain problem of portfolio optimization in the case of the asset prices trends depending on the bank interest rate governed by the Cox–Ingersoll–Ross dynamics. This work continues a series of papers where the interest rate is modeled by a linear stochastic differential equation with a constant volatility. 
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     author = {G. S. Kambarbaeva and O. S. Rozanova},
     title = {Efficient portfolio dependent on {Cox--Ingersoll--Ross} interest rate},
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G. S. Kambarbaeva; O. S. Rozanova. Efficient portfolio dependent on Cox--Ingersoll--Ross interest rate. Vestnik Moskovskogo universiteta. Matematika, mehanika, no. 1 (2013), pp. 3-10. http://geodesic.mathdoc.fr/item/VMUMM_2013_1_a0/