Self-Financing Trading Strategies for Sliding, Rolling-Horizon, and Consol Bonds
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Publication:2757309
DOI10.1111/1467-9965.00074zbMath0996.91072OpenAlexW3121567485MaRDI QIDQ2757309
Publication date: 26 November 2001
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.00074
Related Items (11)
Hedging longevity risk in defined contribution pension schemes ⋮ Capital Forbearance, Ex Ante Life Insurance Guaranty Schemes, and Interest Rate Uncertainty ⋮ Discussion on “Capital Forbearance, Ex Ante Life Insurance Guaranty Schemes, and Interest Rate Uncertainty,” by Ya-Wen Hwang, Shih-Chieh Chang, and Yang-Che Wu, Volume 19(2) ⋮ Existence of optimal consumption strategies in markets with longevity risk ⋮ OPTIMAL INVESTMENT DECISIONS FOR A PORTFOLIO WITH A ROLLING HORIZON BOND AND A DISCOUNT BOND ⋮ A MIXED BOND AND EQUITY FUND MODEL FOR THE VALUATION OF VARIABLE ANNUITIES ⋮ A theory of bond portfolios ⋮ Optimal bond portfolios with fixed time to maturity ⋮ A continuous-time model for reinvestment risk in bond markets ⋮ A Discrete-Time Model for Reinvestment Risk in Bond Markets ⋮ The investor problem based on the HJM model
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