The investor problem based on the HJM model
نویسندگان
چکیده
We consider a consumption-investment problem (both on finite and an infinite time horizon) in which the investor has access to bond market. In our approach prices of bonds with different maturities are described by general HJM factor model. ass
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ژورنال
عنوان ژورنال: Annales Polonici Mathematici
سال: 2021
ISSN: ['0066-2216', '1730-6272']
DOI: https://doi.org/10.4064/ap210429-12-11