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subject:"Zinsstruktur"
~person:"Zhang, Yumo"
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Zinsstruktur
Analysis
4
Mathematical analysis
4
Stochastic process
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Stochastischer Prozess
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Backward stochastic differential equation
3
Portfolio selection
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Zins
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3/2 stochastic volatility
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Affine diffusion process
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Asset-liability management
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CIR process
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CIR risk premium
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Dynamic optimality
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Logarithmic utility
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Mean-variance portfolio selection
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backward stochastic differential equation
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complete market
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Zhang, Yumo
Chiarella, Carl
3
Fanelli, Viviana
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Musti, Silvana
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Bouziane, Markus
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Chan, Kung-sik
2
Leitner, Johannes
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Su, Fei
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Baranovski, Alexander
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Bu, Ruijun
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Annals of finance
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Decisions in economics and finance : a journal of applied mathematics
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ECONIS (ZBW)
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Utility maximization in a stochastic affine interest rate and CIR risk premium framework : a BSDE approach
Zhang, Yumo
- In:
Decisions in economics and finance : a journal of …
46
(
2023
)
1
,
pp. 97-128
Persistent link: https://www.econbiz.de/10014321379
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2
Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate
Zhang, Yumo
- In:
Annals of finance
18
(
2022
)
4
,
pp. 511-544
Persistent link: https://www.econbiz.de/10013489465
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