Optimal portfolios with stochastic short rate : pitfalls when the short rate is non-Gaussian or the market price of risk is unbounded
Holger Kraft
| Year of publication: |
2009
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|---|---|
| Authors: | Kraft, Holger |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 12.2009, 6, p. 767-796
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| Subject: | Portfolio-Management | Portfolio selection | Theorie | Theory | Zinsstruktur | Yield curve | Risikoprämie | Risk premium | Stochastischer Prozess | Stochastic process | Zins | Interest rate | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10003911240