A diffusion model for long-term optimization in the presence of stochastic interest and inflation rates
Farid Mkaouar, Jean-Luc Prigent, Ilyes Abid
| Year of publication: |
2019
|
|---|---|
| Authors: | Mkaouar, Farid ; Prigent, Jean-Luc ; Abid, Ilyes |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 54.2019, 1, p. 367-417
|
| Subject: | Inflation-indexed bonds | Portfolio optimization | Stochastic inflation | Stochastic interest rate | Portfolio-Management | Portfolio selection | Theorie | Theory | Inflation | Stochastischer Prozess | Stochastic process | Zins | Interest rate | Inflationsrate | Inflation rate | Anleihe | Bond | Zinsstruktur | Yield curve |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-017-9742-0 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012134192