OPTIMAL INVESTMENT DECISIONS FOR A PORTFOLIO WITH A ROLLING HORIZON BOND AND A DISCOUNT BOND
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Publication:5714646
DOI10.1142/S0219024905003335zbMath1137.91430MaRDI QIDQ5714646
Tomasz R. Bielecki, Stanley R. Pliska, Jiong-min Yong
Publication date: 15 December 2005
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Bellman equation; Riccati equation; optimal portfolio; stochastic interest rates; discount bond; rolling horizon bond
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
49L20: Dynamic programming in optimal control and differential games
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
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