Brennan, Michael J. (contributor); Xia, Yihong (contributor) - 2000 - [Elektronische Ressource]
are available for trade. The
investor’s optimal investment strategy is given in simple closed form using the equivalent …
martingale method. The investor’s hedge demands depend on both the investment horizon and
the maturities of the bonds in which he … bond with maturity
equal to the investment horizon; secondly, the mean-variance tangency portfolio; thirdly,
an additional …