Multi-period dynamic bond portfolio optimization utilizing a stochastic interest rate model (Q6131011)
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scientific article; zbMATH DE number 7827345
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| English | Multi-period dynamic bond portfolio optimization utilizing a stochastic interest rate model |
scientific article; zbMATH DE number 7827345 |
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Multi-period dynamic bond portfolio optimization utilizing a stochastic interest rate model (English)
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3 April 2024
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interest rate model
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linear rebalancing rules
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multi-period dynamic portfolio optimization
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yield curve forecasts
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0.6478479504585266
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0.615756630897522
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0.5877999067306519
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