Optimal portfolio choice in the bond market
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References listed on IDEAS
- Rene Carmona & Michael Tehranchi, 2004. "A Characterization of Hedging Portfolios for Interest Rate Contingent Claims," Papers math/0407119, arXiv.org.
- repec:dau:papers:123456789/6041 is not listed on IDEAS
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KeywordsTerm structure of interest rates; Malliavin calculus; Utility maximization; Infinite-dimensional stochastic processes; E43; 60H07; 60H15; 91B28;
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
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