The investor problem based on the HJM model (Q5028970): Difference between revisions

@@ Property / DOI @@
-.4064/ap210429-12-11
@@ Property / DOI: 10.4064/ap210429-12-11 / rank @@
-Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W4205346446
@@ Property / OpenAlex ID: W4205346446 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.13915
@@ Property / arXiv ID: 2010.13915 / rank @@
+Normal rank
@@ Property / cites work @@
+Mathematics of the Bond Market: A Lévy Processes Approach
+Normal rank
@@ Property / cites work @@
+On CIR Equations with General Factors
@@ Property / cites work: On CIR Equations with General Factors / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal pension management in a stochastic framework.
+Normal rank
@@ Property / cites work @@
+Interest rate derivatives. Valuation, calibration and sensitivity analysis
+Normal rank
@@ Property / cites work @@
+OPTIMAL INVESTMENT DECISIONS FOR A PORTFOLIO WITH A ROLLING HORIZON BOND AND A DISCOUNT BOND
+Normal rank
@@ Property / cites work @@
+Risk-Sensitive ICAPM With Application to Fixed-Income Management
+Normal rank
@@ Property / cites work @@
+Towards a general theory of bond markets
@@ Property / cites work: Towards a general theory of bond markets / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Interest Rates and the Bond-Stock Mix
@@ Property / cites work: Stochastic Interest Rates and the Bond-Stock Mix / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal consumption-investment strategy under the vasicek model: HARA utility and Legendre transform
+Normal rank
@@ Property / cites work @@
+Optimal consumption and portfolio policies when asset prices follow a diffusion process
+Normal rank
@@ Property / cites work @@
+Optimal investment strategies in a CIR framework
@@ Property / cites work: Optimal investment strategies in a CIR framework / rank @@
+Normal rank
@@ Property / cites work @@
+CLOSED‐FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS
+Normal rank
@@ Property / cites work @@
+Term-structure models. A graduate course
@@ Property / cites work: Term-structure models. A graduate course / rank @@
+Normal rank
@@ Property / cites work @@
+Controlled Markov processes and viscosity solutions
+Normal rank
@@ Property / cites work @@
+Q4086524
@@ Property / cites work: Q4086524 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4040640
@@ Property / cites work: Q4040640 / rank @@
+Normal rank
@@ Property / cites work @@
+Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns
+Normal rank
@@ Property / cites work @@
+Robust optimal reinsurance and investment strategies for an AAI with multiple risks
+Normal rank
@@ Property / cites work @@
+Consumption and investment with interest rate risk
+Normal rank
@@ Property / cites work @@
+Consumption in incomplete markets
@@ Property / cites work: Consumption in incomplete markets / rank @@
+Normal rank
@@ Property / cites work @@
+An Optimal Consumption Problem for General Factor Models
+Normal rank
@@ Property / cites work @@
+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
+Normal rank
@@ Property / cites work @@
+Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
+Normal rank
@@ Property / cites work @@
+A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
+Normal rank
@@ Property / cites work @@
+ON THE STABILITY OF CONTINUOUS‐TIME PORTFOLIO PROBLEMS WITH STOCHASTIC OPPORTUNITY SET
+Normal rank
@@ Property / cites work @@
+H-J-B equations of optimal consumption-investment and verification theorems
+Normal rank
@@ Property / cites work @@
+Applied stochastic control of jump diffusions
@@ Property / cites work: Applied stochastic control of jump diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+Q3534754
@@ Property / cites work: Q3534754 / rank @@
+Normal rank
@@ Property / cites work @@
+Explosion in the quasi-Gaussian HJM model
@@ Property / cites work: Explosion in the quasi-Gaussian HJM model / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal portfolio choice in the bond market
@@ Property / cites work: Optimal portfolio choice in the bond market / rank @@
+Normal rank
@@ Property / cites work @@
+Self-Financing Trading Strategies for Sliding, Rolling-Horizon, and Consol Bonds
+Normal rank
@@ Property / cites work @@
+Optimal consumption problem in the Vasicek model
@@ Property / cites work: Optimal consumption problem in the Vasicek model / rank @@
+Normal rank
@@ Property / cites work @@
+Existence results for Isaacs equations with local conditions and related semilinear Cauchy problems
+Normal rank
@@ Property / cites work @@
+On the parabolic equation for portfolio problems
@@ Property / cites work: On the parabolic equation for portfolio problems / rank @@
+Normal rank
@@ Property / cites work @@
+Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
+Normal rank
@@ Property / DOI @@
+.4064/AP210429-12-11
@@ Property / DOI: 10.4064/AP210429-12-11 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5028970