Bond portfolio's duration and investment term-structure management problem

MaRDI QIDQ871354zbMATHFDO

Authors Daobai Liu

Publication date 19 March 2007

Published in Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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