Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds
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More about this item
KeywordsPortfolio optimization; Stochastic interest rate; Inflation-indexed bonds; Incompleteness; Compensating variation;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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