Kaufman, Roger; Gadmer, Andreas; Klett, Ralf - International Actuarial Association / Actuarial Studies … - 2001
design,
•
and others.
This listing suggests that DFA goes beyond designing an asset allocation
strategy. In fact, portfolio … motion.
CIR is a mean-reverting process where the short rate stays almost surely pos-
itive. Moreover, CIR allows for an …
depends on two fundamental and closely related questions to be answered
beforehand:
1. Who is the primary beneficiary of a DFA …