BIELECKI, TOMASZ R.; PLISKA, STANLEY; YONG, JIONGMIN - In: International Journal of Theoretical and Applied … 08 (2005) 07, pp. 871-913
An optimal investment problem is considered for a continuous-time market consisting of the usual bank account, a rolling horizon bond, and a discount bond whose maturity coincides with the planning horizon. Two economic factors, namely, the short rate and the risk-free yield of some fixed...