Consistent curves in the -world: optimal bonds portfolio

DOI10.1080/14697688.2024.2356232MaRDI QIDQ6592289zbMATH OpenFDO

Authors Gaddiel Ouaknin

Publication date 26 August 2024

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2024.2356232

Mathematics Subject Classification ID

Hamilton-Jacobi equations in optimal control and differential games (49L12) Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cites work

• A note on the Nelson-Siegel family
• A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
• A theory of bond portfolios
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Affine models with stochastic market price of risk
• Algorithmic and high-frequency trading
• An equilibrium characterization of the term structure
• Bond portfolio optimization
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Controlled Markov processes and viscosity solutions
• Exponential-polynomial families and the term structure of interest rates
• Forecasting the term structure of government bond yields
• scientific article; zbMATH DE number 3233089 (Why is no real title available?)
• Incorporating signals into optimal trading
• Interest rate dynamics and consistent forward rate curves
• Minimal realizations in interest rate models
• Multi-curve construction. Definition, calibration, implementation and application of rate curves
• On the existence of finite-dimensional realizations for nonlinear forward rate models.
• Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
• Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences
• The affine arbitrage-free class of Nelson-Siegel term structure models

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