Closed-form solutions for optimal portfolio selection with stochastic interest rate and investment constraints

Mathematical Finance

Volumn 15, Issue 4, 2005, Pages 539-568

  Detemple, Jérôme ^a,c   Rindisbacher, Marcel ^b  

^a BOSTON UNIVERSITY   (United States)

^b UNIVERSITY OF TORONTO   (Canada)

^c BOSTON UNIVERSITY   (United States)

Author keywords

Closed form solutions; Incomplete markets; Interest rate risk; Intertemporal hedging; Investment horizon; Portfolio constraints; Risk aversion; Shadow prices; Volatility

Indexed keywords

EID: 25644459973     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2005.00250.x     Document Type: Article

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