CLOSED‐FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS

DOI10.1111/j.1467-9965.2005.00250.xzbMath1138.91432OpenAlexW2078991714MaRDI QIDQ5700131

Marcel Rindisbacher, Jérôme B. Detemple

Publication date: 27 October 2005

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2005.00250.x

Mathematics Subject Classification ID

Portfolio theory (91G10)

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