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Robust portfolio choice with stochastic interest rates

Flor, Christian Riis; Larsen, Linda Sandris - In: Annals of finance 10 (2014) 2, pp. 243-265

Persistent link: https://www.econbiz.de/10010350862

Stochastic duration and fast coupon bond option pricing in multi-factor models

Munk, Claus - In: Review of derivatives research 3 (1999) 2, pp. 157-181

Persistent link: https://www.econbiz.de/10001484571

No-arbitrage bounds on contingent claims prices with convex constraints on the dollar investments of the hedge portfolio

Munk, Claus - 1997

Persistent link: https://www.econbiz.de/10000975849

Numerical methods for continuous-time, continuous-state stochastic control problems

Munk, Claus - 1997

Persistent link: https://www.econbiz.de/10000975852

Stochastic duration and fast coupon bond option pricing in multi-factor models

Munk, Claus - 1998

Persistent link: https://www.econbiz.de/10000995478

The costs of suboptimal dynamic asset allocation : general results and applications to interest rate risk, stock volatility risk, and growth/value tilts

Larsen, Linda Sandris; Munk, Claus - In: Journal of economic dynamics & control 36 (2012) 2, pp. 266-293

Persistent link: https://www.econbiz.de/10009489609

Portfolio management with stochastic interest rates and inflation ambiguity

Munk, Claus; Rubtsov, Alexey - In: Annals of finance 10 (2014) 3, pp. 419-455

Persistent link: https://www.econbiz.de/10010399796

Robust Portfolio Choice with Stochastic Interst Rates

Flor, Christian Riis - 2011

We determine the optimal investment strategy for an ambiguity averse investor in a setting with stochastic interest rates. The investor is assumed to be ambiguous about the expected rate of return of both bonds and stocks, and may have different levels of ambiguity aversion about the two types...

Persistent link: https://www.econbiz.de/10013121162