Multi-period dynamic bond portfolio optimization utilizing a stochastic interest rate model
Yoshiyuki Shimai, Naoki Makimoto
| Year of publication: |
2023
|
|---|---|
| Authors: | Shimai, Yoshiyuki ; Makimoto, Naoki |
| Published in: |
Asia Pacific financial markets. - [Erscheinungsort nicht ermittelbar] : Proquest, ISSN 1573-6946, ZDB-ID 2009834-0. - Vol. 30.2023, 4, p. 817-844
|
| Subject: | Interest rate model | Linear rebalancing rules | Multi-period dynamic portfolio optimization | Yield curve forecasts | Zinsstruktur | Yield curve | Portfolio-Management | Portfolio selection | Theorie | Theory | Anleihe | Bond | Stochastischer Prozess | Stochastic process | Zins | Interest rate | Prognoseverfahren | Forecasting model |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10690-023-09401-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014391968