Bond portfolio optimization
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Publication:2465190
zbMath1176.91001MaRDI QIDQ2465190
Publication date: 8 January 2008
Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)
interest rateterm structurevolatilityVasicek modelportfolio selection problemHull-White modelbondHeath-Jarrow-Morton frameworkmaturity date
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Portfolio theory (91G10)
Related Items (4)
Derivation of a new Merton's optimal problem presented by fractional stochastic stock price and its applications ⋮ Multi-period dynamic bond portfolio optimization utilizing a stochastic interest rate model ⋮ Static Markowitz mean-variance portfolio selection model with long-term bonds ⋮ Catastrophe bond pricing for the two-factor Vasicek interest rate model with automatized fuzzy decision making
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