Optimal bond portfolios with fixed time to maturity
Year of publication: |
2013
|
---|---|
Authors: | Andersson, Patrik ; Lagerås, Andreas N. |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 53.2013, 2, p. 429-438
|
Subject: | Interest rate models | Rolling horizon bonds | Generalized Ornstein–Uhlenbeck processes | Affine term structure | Mean–variance portfolio | Zinsstruktur | Yield curve | Portfolio-Management | Portfolio selection | Anleihe | Bond | Fälligkeit | Maturity | Zins | Interest rate | Optionspreistheorie | Option pricing theory | Öffentliche Anleihe | Public bond |
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