Optimal Bond Portfolios

DOI10.1007/978-3-540-73327-0_2zbMath1151.91506arXivmath/0510333OpenAlexW1558617747MaRDI QIDQ5435651

Ivar Ekeland, Erik Taflin

Publication date: 14 January 2008

Published in: Paris-Princeton Lectures on Mathematical Finance 2004 (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0510333

Mathematics Subject Classification ID

Optimality conditions and duality in mathematical programming (90C46) Stochastic calculus of variations and the Malliavin calculus (60H07) Existence of optimal solutions to problems involving randomness (49J55)

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