A Factor Allocation Approach to Optimal Bond Portfolio
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 14 (2007)
Issue (Month): 4 (December)
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Web page: http://springerlink.metapress.com/link.asp?id=102851
Dynamic bond portfolio problem; Multi-factor affine term structure model; Martingale method; Clark–Ocone formula;
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