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 | Portfolio-Management | Portfolio selection | Theorie | Theory | Inflation | Stochastischer Prozess | Stochastic process | Zins | Interest rate | Inflationsrate | Inflation rate | Anleihe | Bond | Zinsstruktur | Yield curve |
-
Mkaouar, Farid, (2017)
-
A hybrid model for pricing and hedging of long-dated bonds
Baldeaux, Jan, (2015)
-
Li, Danping, (2015)
- More ...
-
Mkaouar, Farid, (2017)
-
The dark side of the black gold shock onto Europe : one stock's joy is another stock's sorrow
Kaabia, Olfa, (2016)
-
Dynamic analysis of the forecasting bankruptcy under presence of unobserved heterogeneity
Abid, Ilyes, (2018)
- More ...