A diffusion model for long-term optimization in the presence of stochastic interest and inflation rates
Year of publication: |
2019
|
---|---|
Authors: | Mkaouar, Farid ; Prigent, Jean-Luc ; Abid, Ilyes |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 54.2019, 1, p. 367-417
|
Subject: | Inflation-indexed bonds | Portfolio optimization | Stochastic inflation | Stochastic interest rate | Stochastischer Prozess | Stochastic process | Theorie | Theory | Portfolio-Management | Portfolio selection | Inflation | Zins | Interest rate | Inflationsrate | Inflation rate | Zinsstruktur | Yield curve |
-
Mkaouar, Farid, (2017)
-
Li, Danping, (2015)
-
Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
Guan, Guohui, (2014)
- More ...
-
Mkaouar, Farid, (2017)
-
Optimal strategy between extraction and storage of crude oil
Abid, Ilyes, (2019)
-
The dark side of the black gold shock onto Europe : one stock's joy is another stock's sorrow
Kaabia, Olfa, (2016)
- More ...