Optimal Bonds Portfolio P-world
The research establishes arbitrage-free conditions for a parametric yield curve in the P-world and presents a bonds-portfolio optimization as a stochastic control problem.
Featured in No. 61 on 15 Aug 2024 · on release day
- Released
- 15 Aug 2024
- First featured
- No. 61 · 15 Aug 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 14
- Identifier
- RePEc:taf:quantf:v:24:y:2024:i:7:p:875-888
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