Consumption and investment with interest rate risk
نویسندگان
چکیده
منابع مشابه
Optimal consumption and investment strategies with stochastic interest rates
We characterize the solution to the consumption and investment problem of a timeadditive power utility investor in a continuous-time dynamically complete market with stochastic changes in the opportunity set. It is demonstrated that under stochastic interest rates the investor optimally hedges against changes in the term structure of interest rates by investing in a coupon bond, or portfolio of...
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ژورنال
عنوان ژورنال: Journal of Mathematical Analysis and Applications
سال: 2019
ISSN: 0022-247X
DOI: 10.1016/j.jmaa.2019.01.003