A portfolio-based evaluation of affine term structure models

DOI10.1007/s10479-006-0134-4zbMath1132.91458OpenAlexW2071604982MaRDI QIDQ2480223

Andrea Beltratti, Paolo Colla

Publication date: 31 March 2008

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-006-0134-4

zbMATH Keywords

dynamic optimizationaffine modelsactive asset allocation

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10)

Related Items (1)

Portfolio management with benchmark related incentives under mean reverting processes

Cites Work

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