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Closed-Form Solutions For Optimal Portfolio Selection With Stochastic Interest Rate And Investment Constraints

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  • Jérˆme Detemple
  • Marcel Rindisbacher

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9965.2005.00250.x
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Bibliographic Info

Article provided by Wiley Blackwell in its journal Mathematical Finance.

Volume (Year): 15 (2005)
Issue (Month): 4 ()
Pages: 539-568

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Handle: RePEc:bla:mathfi:v:15:y:2005:i:4:p:539-568

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627

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Cited by:
  1. Georgy Chabakauri, 2012. "Asset Pricing with Heterogeneous Investors and Portfolio Constraints," FMG Discussion Papers dp707, Financial Markets Group.
  2. Georgy Chabakauri, 2012. "Asset Pricing with Heterogeneous Investors and Portfolio Constraints," 2012 Meeting Papers 636, Society for Economic Dynamics.
  3. Castaneda, Pablo & Rudolph, Heinz P., 2011. "Upgrading investment regulations in second pillar pension systems : a proposal for Colombia," Policy Research Working Paper Series 5775, The World Bank.
  4. Shen, Yang & Siu, Tak Kuen, 2012. "Asset allocation under stochastic interest rate with regime switching," Economic Modelling, Elsevier, vol. 29(4), pages 1126-1136.
  5. Georgy Chabakauri, 2010. "Asset pricing with heterogeneous investors and portfolio constraints," LSE Research Online Documents on Economics 43142, London School of Economics and Political Science, LSE Library.
  6. Alet Roux, 2007. "The fundamental theorem of asset pricing under proportional transaction costs," Papers 0710.2758, arXiv.org.

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