A Diffusion Model for Long-Term Optimization in the Presence of Stochastic Interest and Inflation Rates
Author:
Publisher
Springer Science and Business Media LLC
Subject
Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)
Link
http://link.springer.com/content/pdf/10.1007/s10614-017-9742-0.pdf
Reference41 articles.
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3. Brennan, M. J., & Xia, Y. (2000). Stochastic interest rates and the bond-stock mix. European Finance Review, 4, 197–210.
4. Brennan, M. J., & Xia, Y. (2002). Dynamic asset allocation under inflation. Journal of Finance, 57, 1201–1238.
5. Brière, M., & Signori, O. (2012). Inflation-hedging portfolios: Economic regimes matter. Journal of Portfolio Management, 38, 43–58.
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