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Multi-period dynamic bond portfolio optimization utilizing a stochastic interest rate model

Shimai, Yoshiyuki; Makimoto, Naoki - In: Asia Pacific financial markets 30 (2023) 4, pp. 817-844

Persistent link: https://www.econbiz.de/10014391968

Solving long term optimal investment problems with Cox-Ingersoll-Ross interest rates

Hata, Hiroaki; Sekine, Jun - In: Advances in mathematical economics 8 (2006), pp. 231-255

Persistent link: https://www.econbiz.de/10003308963

A relaxed cutting plane algorithm for solving the Vasicek-type forward interest rate model

Chen, Homing; Hu, Cheng-feng - In: European journal of operational research : EJOR 204 (2010) 2, pp. 343-354

Persistent link: https://www.econbiz.de/10003947179

Measurement of interest rates using a convex optimization model

Blomvall, Jörgen - In: European journal of operational research : EJOR 256 (2017) 1, pp. 308-316

Persistent link: https://www.econbiz.de/10011611272

Using the Black-Derman-Toy interest rate model for portfolio optimization

Weissensteiner, Alex - In: European journal of operational research : EJOR 202 (2010) 1, pp. 175-181

Persistent link: https://www.econbiz.de/10003960067

Stochastic control for asset management

Kung, James J.; Wong, Wing Keung; Wu, E.-ching - In: Journal of mathematical finance 3 (2013) 1, pp. 59-69

Persistent link: https://www.econbiz.de/10010240225

Optimal dividend payout under stochastic discounting

Bandini, Elena; De Angelis, Tiziano; Ferrari, Giorgio; … - In: Mathematical finance : an international journal of … 32 (2022) 2, pp. 627-677

Persistent link: https://www.econbiz.de/10013164565

Optimal monetary policy inertia

Woodford, Michael - 1999

Persistent link: https://www.econbiz.de/10001435317

Optimal monetary policy inertia

Woodford, Michael - 1999

Persistent link: https://www.econbiz.de/10001362623

Optimal Quantitative Easing

Harrison, Richard - 2017

I study optimal monetary policy in a simple New Keynesian model with portfolio adjustment costs. Purchases of long-term debt by the central bank (quantitative easing; ‘QE') alter the average portfolio return and hence influence aggregate demand and inflation. The central bank chooses the...

Persistent link: https://www.econbiz.de/10012946995