A factor allocation approach to optimal bond portfolio (Q841841): Difference between revisions
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Revision as of 02:22, 5 March 2024
scientific article
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English | A factor allocation approach to optimal bond portfolio |
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A factor allocation approach to optimal bond portfolio (English)
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18 September 2009
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dynamic bond portfolio problem
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multi-factor affine term structure model
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martingale method
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Clark-Ocone formula
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