Optimal portfolio choice in the bond market
β Scribed by Nathanael Ringer; Michael Tehranchi
- Publisher
- Springer-Verlag
- Year
- 2006
- Tongue
- English
- Weight
- 267 KB
- Volume
- 10
- Category
- Article
- ISSN
- 0949-2984
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π SIMILAR VOLUMES
This research solves the intertemporal portfolio choice problems with and without interim consumption under stochastic inflation. We assume a oneβfactor nominal interest rate and a oneβfactor expected inflation rate, implying a twoβfactor real interest rate in the economy. In contrast to other relat
We introduce a method that relies exclusively on Monte Carlo simulation in order to compute numerically optimal portfolio values for utility maximization problems. Our method is quite general and only requires complete markets and knowledge of the dynamics of the security processes. It can be applie