Multi-period Dynamic Bond Portfolio Optimization Utilizing a Stochastic Interest Rate Model
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DOI: 10.1007/s10690-023-09401-2
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More about this item
Keywords
Interest rate model; Linear rebalancing rules; Multi-period dynamic portfolio optimization; Yield curve forecasts;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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