Optimal portfolio choice in the bond market

DOI10.1007/s00780-006-0019-zzbMath1126.91034OpenAlexW2042703223MaRDI QIDQ881421

Nathanael Ringer, Michael R. Tehranchi

Publication date: 29 May 2007

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-006-0019-z

zbMATH Keywords

Malliavin calculusutility maximizationinterest rateterm structureinfinite-dimensional stochastic process

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Portfolio theory (91G10)

Related Items (4)

Optimal consumption problem in the Vasicek model ⋮ Optimal portfolios in commodity futures markets ⋮ UTILITY MAXIMIZATION IN A LARGE MARKET ⋮ The investor problem based on the HJM model

Cites Work

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• On the use of measure-valued strategies in bond markets
• Bond market completeness and attainable contingent claims
• Interest rate models: an infinite dimensional stochastic analysis perspective
• Hypoellipticity in infinite dimensions and an application in interest rate theory
• A generalized clark representation formula, with application to optimal portfolios
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
• Stochastic Equations in Infinite Dimensions

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