Search Results - subject:"Gaussian short rate"

Asymptotics of bond yields and volatilities for extended Vasicek models under the real-world measure

Fergusson, K. - In: Annals of financial economics 12 (2017) 1, pp. 1-33

Persistent link: https://www.econbiz.de/10011716067

OPTIMAL PORTFOLIOS WITH STOCHASTIC SHORT RATE: PITFALLS WHEN THE SHORT RATE IS NON-GAUSSIAN OR THE MARKET PRICE OF RISK IS UNBOUNDED

KRAFT, HOLGER - In: International Journal of Theoretical and Applied … 12 (2009) 06, pp. 767-796

The aim of this paper is to provide a survey of some of the problems occurring in portfolio problems with power utility, Non-Gaussian interest rates, and/or unbounded market price of risk. Using stochastic control theory, we solve several portfolio problems for different specifications of the...

Persistent link: https://www.econbiz.de/10008474829