Narrow search
Showing 1 - 10 of 104,274
Cover Image
Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability
Yao, Haixiang; Li, Zhongfei; Li, Duan - In: European journal of operational research : EJOR 252 (2016) 3, pp. 837-851
Persistent link: https://www.econbiz.de/10011472346
Cover Image
Less-expensive valuation and reserving of long-dated variable annuities when interest rates and mortality rates are stochastic
Fergusson, Kevin - In: ASTIN bulletin : the journal of the International … 50 (2020) 2, pp. 381-417
Persistent link: https://www.econbiz.de/10012243342
Cover Image
Portfolio choice with stochastic interest rates and learning about stock return predictability
Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey - In: International review of economics & finance : IREF 41 (2016), pp. 347-370
Persistent link: https://www.econbiz.de/10011624748
Cover Image
Long-term investment with stochastic interest and inflation rates : the need for inflation-indexed bonds
Mkaouar, Farid; Prigent, Jean-Luc; Abid, Ilyes - In: Economic modelling 67 (2017), pp. 228-247
Persistent link: https://www.econbiz.de/10011813816
Cover Image
Defined contribution pension planning with a stochastic interest rate and mean-reverting returns under the hyperbolic absolute risk aversion preference
Chang, Hao; Wang, Chunfeng; Fang, Zhenming; Ma, Dan - In: IMA journal of management mathematics 31 (2020) 2, pp. 167-189
Persistent link: https://www.econbiz.de/10012181853
Cover Image
A diffusion model for long-term optimization in the presence of stochastic interest and inflation rates
Mkaouar, Farid; Prigent, Jean-Luc; Abid, Ilyes - In: Computational economics 54 (2019) 1, pp. 367-417
Persistent link: https://www.econbiz.de/10012134192
Cover Image
Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate
Zhang, Yumo - In: Annals of finance 18 (2022) 4, pp. 511-544
Persistent link: https://www.econbiz.de/10013489465
Cover Image
Multi-period dynamic bond portfolio optimization utilizing a stochastic interest rate model
Shimai, Yoshiyuki; Makimoto, Naoki - In: Asia Pacific financial markets 30 (2023) 4, pp. 817-844
Persistent link: https://www.econbiz.de/10014391968
Cover Image
Uncertain contour process and its application in stock model with floating interest rate
Yao, Kai - In: Fuzzy optimization and decision making : a journal of … 14 (2015) 4, pp. 399-424
Persistent link: https://www.econbiz.de/10011538477
Cover Image
Real and nominal equilibrium yield curves : wage rigidities and permanent shocks
Hsu, Alex; Li, Erica X. N.; Palomino, Francisco - 2016
The links between real and nominal bond risk premia and macroeconomic dynamics are explored quantitatively in a model ….S. economy, implying significantly positive real term and inflation risk bond premia. In contrast to previous literature, both …-rule responses to inflation (output) increase (decrease) both premia, while policy surprises generate negligible risk premia …
Persistent link: https://www.econbiz.de/10011500232