A Factor Allocation Approach to Optimal Bond Portfolio
| Year of publication: |
2007
|
|---|---|
| Authors: | Nakayama, Keita ; Takahashi, Akihiko |
| Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 14.2007, 4, p. 299-324
|
| Publisher: |
Springer |
| Subject: | Dynamic bond portfolio problem | Multi-factor affine term structure model | Martingale method | Clark–Ocone formula |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005727020