On optimal portfolio choice under stochastic interest rates

Journal of Economic Dynamics and Control

Volumn 25, Issue 11, 2001, Pages 1841-1865

  Lioui, Abraham ^a   Poncet, Patrice ^b,c  

^a BAR ILAN UNIVERSITY   (Israel)

^b ESSEC BUSINESS SCHOOL   (France)

^c UNIVERSITÉ PARIS 1 PANTHÉON SORBONNE   (France)

Author keywords

Financial futures; G11; G13; Hedging; Interest rate risk; Market price of risk; Portfolio choice theory

Indexed keywords

EID: 0000875207     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1889(00)00005-1     Document Type: Article

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