Optimal portfolio choice in the bond market
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Publication:881421
DOI10.1007/s00780-006-0019-zzbMath1126.91034MaRDI QIDQ881421
Nathanael Ringer, Michael R. Tehranchi
Publication date: 29 May 2007
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-006-0019-z
Malliavin calculus; utility maximization; interest rate; term structure; infinite-dimensional stochastic process
60H07: Stochastic calculus of variations and the Malliavin calculus
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
91G10: Portfolio theory
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Cites Work
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