Ramsey rule with forward/backward utility for long-term yield curves modeling
Nicole El Karoui, Caroline Hillairet, Mohamed Mrad
| Year of publication: |
2022
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|---|---|
| Authors: | El Karoui, Nicole ; Hillairet, Caroline ; Mrad, Mohamed |
| Published in: |
Decisions in economics and finance : a journal of applied mathematics. - Milano : Springer Italia, ISSN 1129-6569, ZDB-ID 2023516-1. - Vol. 45.2022, 1, p. 375-414
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| Subject: | Forward/backward portfolio optimization | Long-run rates | Marginal indifference pricing | Market-consistent progressive utility of investment and consumption | Ramsey rule | Yields curves | Portfolio-Management | Portfolio selection | Theorie | Theory | Zinsstruktur | Yield curve | Optimale Besteuerung | Optimal taxation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10203-022-00370-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013380575