Optimal portfolio choice in the bond market

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

zbMATH Keywords

Malliavin calculus; utility maximization; interest rate; term structure; infinite-dimensional stochastic process

Mathematics Subject Classification ID

60H07: Stochastic calculus of variations and the Malliavin calculus

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

91G10: Portfolio theory

Related Items

UTILITY MAXIMIZATION IN A LARGE MARKET, The investor problem based on the HJM model, Optimal portfolios in commodity futures markets, Optimal consumption problem in the Vasicek model

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