A theory of bond portfolios
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Cited by:
- Bruno Bouchard & Emmanuel Lepinette & Erik Taflin, 2013. "Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs," Papers 1302.0361, arXiv.org.
- Jacek Jakubowski & Jerzy Zabczyk, 2007. "Exponential moments for HJM models with jumps," Finance and Stochastics, Springer, vol. 11(3), pages 429-445, July.
- Fred Espen Benth & Paul Kruhner, 2014. "Representation of infinite dimensional forward price models in commodity markets," Papers 1403.4111, arXiv.org.
- Charles Shaw, 2022. "Portfolio Diversification Revisited," Papers 2204.13398, arXiv.org.
- Nathanael Ringer & Michael Tehranchi, 2006. "Optimal portfolio choice in the bond market," Finance and Stochastics, Springer, vol. 10(4), pages 553-573, December.
- Fred Benth & Jukka Lempa, 2014.
"Optimal portfolios in commodity futures markets,"
Finance and Stochastics, Springer, vol. 18(2), pages 407-430, April.
- Fred Espen Benth & Jukka Lempa, 2012. "Optimal portfolios in commodity futures markets," Papers 1204.2667, arXiv.org.
- Erik Taflin, 2009. "Generalized integrands and bond portfolios: Pitfalls and counter examples," Papers 0909.2341, arXiv.org, revised Jan 2011.
- Andersson, Patrik & Lagerås, Andreas N., 2013. "Optimal bond portfolios with fixed time to maturity," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 429-438.
- Enrico Ferri, 2018. "Infinite dimensional portfolio representation as applied to model points selection in life insurance," Papers 1808.00866, arXiv.org, revised Mar 2020.
- Irene Klein & Thorsten Schmidt & Josef Teichmann, 2013. "When roll-overs do not qualify as num\'eraire: bond markets beyond short rate paradigms," Papers 1310.0032, arXiv.org.
- Oleksii Mostovyi, 2014. "Utility maximization in the large markets," Papers 1403.6175, arXiv.org, revised Oct 2014.
- Yalc{c}in Aktar & Erik Taflin, 2014. "A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities," Papers 1405.3566, arXiv.org.
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