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 |
| Subject: | Interest rate model | Linear rebalancing rules | Multi-period dynamic portfolio optimization | Yield curve forecasts | Portfolio-Management | Portfolio selection | Zinsstruktur | Yield curve | Theorie | Theory | Anleihe | Bond | Prognoseverfahren | Forecasting model | Zins | Interest rate | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming |
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