Optimal portfolios with stochastic short rate : pitfalls when the short rate is non-Gaussian or the market price of risk is unbounded
Year of publication: |
2009
|
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Authors: | Kraft, Holger |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 12.2009, 6, p. 767-796
|
Subject: | Theorie | Theory | Portfolio-Management | Portfolio selection | Zinsstruktur | Yield curve | Zins | Interest rate | Risikoprämie | Risk premium | Stochastischer Prozess | Stochastic process |
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