A factor allocation approach to optimal bond portfolio (Q841841)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A factor allocation approach to optimal bond portfolio |
scientific article |
Statements
A factor allocation approach to optimal bond portfolio (English)
0 references
18 September 2009
0 references
dynamic bond portfolio problem
0 references
multi-factor affine term structure model
0 references
martingale method
0 references
Clark-Ocone formula
0 references
