The investor problem based on the HJM model (Q5028970)

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scientific article; zbMATH DE number 7472572
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The investor problem based on the HJM model
scientific article; zbMATH DE number 7472572

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    The investor problem based on the HJM model (English)
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    11 February 2022
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    Merton problem
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    HJM model
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    portfolio immunization
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    optimal consumption
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    interest rate
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    rolling bond
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    G2++ model
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