Portfolio selection with inflation-linked bonds and indexation lags
From MaRDI portal
Publication:2338519
DOI10.1016/j.jedc.2019.103727zbMath1425.91389OpenAlexW2968713417WikidataQ127368096 ScholiaQ127368096MaRDI QIDQ2338519
Publication date: 21 November 2019
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2019.103727
stochastic delay differential equationsintertemporal hedgingbond portfolio selectionindexation lagsinflation-linked bondpiecewise dynamic programming approach
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
Related Items
Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model ⋮ Time to build and bond risk premia ⋮ Time to build and bond risk premia ⋮ Optimal management of DC pension fund under the relative performance ratio and VaR constraint
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model
- Strategic asset allocation
- Risk aversion and allocation to long-term bonds.
- Asset allocation with time series momentum and reversal
- Herding, trend chasing and market volatility
- Anticipated backward stochastic differential equations
- Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
- Stochastic Interest Rates and the Bond-Stock Mix
- A Theory of the Term Structure of Interest Rates
- Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- Time-varying economic dominance in financial markets: A bistable dynamics approach
- An equilibrium characterization of the term structure
