8 search results - page 2 / 2 » Optimal portfolio choice in the bond market |
AUTOMATICA
2010
14 years 10 months ago
2010
This paper analyzes competition between mutual funds in a multiple funds version of the model of Hugonnier and Kaniel [17]. We characterize the set of equilibria for this portfoli...
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SIAMCO
2011
14 years 6 months ago
2011
The choice of admissible trading strategies in mathematical modelling of financial markets is a delicate issue, going back to Harrison and Kreps [HK79]. In the context of optimal...
AUTOMATICA
2006
14 years 11 months ago
2006
This paper examines a problem related to the optimal risk management of banks in a stochastic dynamic setting. In particular, we minimize7 market and capital adequacy risk that in...