Optimal bond portfolios with fixed time to maturity

We study interest rate models where the term structure is given by an affine relation and in particular where the driving stochastic processes are so-called generalized Ornstein–Uhlenbeck processes.

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Year of publication:	2013
Authors:	Andersson, Patrik ; Lagerås, Andreas N.
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 53.2013, 2, p. 429-438
Publisher:	Elsevier
Subject:	Interest rate models \| Rolling horizon bonds \| Generalized Ornstein–Uhlenbeck processes \| Affine term structure \| Mean–variance portfolio

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011046663