Optimal bond portfolios with fixed time to maturity (Q2513599)
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scientific article; zbMATH DE number 6391835
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| English | Optimal bond portfolios with fixed time to maturity |
scientific article; zbMATH DE number 6391835 |
Statements
Optimal bond portfolios with fixed time to maturity (English)
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28 January 2015
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interest rate models
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rolling horizon bonds
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generalized Ornstein-Uhlenbeck processes
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affine term structure
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mean-variance portfolio
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0.790439784526825
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0.7863690853118896
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0.7859375476837158
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0.7796511054039001
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0.7747632265090942
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