On optimal portfolio choice under stochastic interest rates
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Publication:5941435
DOI10.1016/S0165-1889(00)00005-1zbMath0979.91032MaRDI QIDQ5941435
Publication date: 20 August 2001
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
portfoliointerest rate riskhedge componentmartingale approachMerton-Breeden hedging termsoptimal portfolio strategyportfolio risk management
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