Risk minimizing strategies for a portfolio of interest-rate securities

zbMATH Open1151.93034MaRDI QIDQ3534754FDOQ3534754

Authors: Andrzej Palczewski 

Publication date: 4 November 2008

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zbMATH Keywords

stochastic interest rateasset-liability managementoptimal portfolios

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Cited In (4)

• Risk minimizing strategies for tracking a stochastic target
• On the parabolic equation for portfolio problems
• Portfolio risk management under incomplete information: a stochastic control method
• The investor problem based on the HJM model

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