Nordfang, Maj-Britt; Steffensen, Mogens - In: Journal of risk and financial management : JRFM 10 (2017) 1, pp. 1-23
This paper studies the optimal mortgage choice of an investor in a simple bond market with a stochastic interest rate … solutions to portfolio problems with a stochastic interest rate. We derive the optimal portfolio of a mortgagor in a simple …