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Optimal portfolio choice in the bond market

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Author Info
Nathanael Ringer ()
Michael Tehranchi ()
Abstract

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File URL: http://hdl.handle.net/10.1007/s00780-006-0019-z
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Publisher Info
Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 10 (2006)
Issue (Month): 4 (December)
Pages: 553-573
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Handle: RePEc:spr:finsto:v:10:y:2006:i:4:p:553-573

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Web page: http://www.springerlink.com/content/101164/

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Related research
Keywords: Term structure of interest rates; Malliavin calculus; Utility maximization; Infinite-dimensional stochastic processes; E43; 60H07; 60H15; 91B28;

References listed on IDEAS
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  1. Rene Carmona & Michael Tehranchi, 2004. "A Characterization of Hedging Portfolios for Interest Rate Contingent Claims," Quantitative Finance Papers math/0407119, arXiv.org. [Downloadable!]
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This page was last updated on 2009-11-8.

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