Optimal Portfolio Selection of Mean-Variance Utility with Stochastic Interest Rate

Table 1

The value of parameters.

Parameter	Symbol	Value
Termination time		1
Initial wealth		1
Risky asset appreciation rate		0.12
Risky asset volatility		0.2
Interest restriction parameter		0.189
Interest restriction parameter		-0.1612
Interest restriction parameter		0
Interest rate volatility		0.28
Coefficient between two assets		-0.1