A factor allocation approach to optimal bond portfolio (Q841841)
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scientific article; zbMATH DE number 5604978
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| English | A factor allocation approach to optimal bond portfolio |
scientific article; zbMATH DE number 5604978 |
Statements
A factor allocation approach to optimal bond portfolio (English)
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18 September 2009
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dynamic bond portfolio problem
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multi-factor affine term structure model
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martingale method
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Clark-Ocone formula
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0.8203591108322144
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0.8052583932876587
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0.7982916831970215
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0.793258011341095
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0.7741749286651611
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