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Optimal consumption and investment strategies with stochastic interest rates · Study

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ArticleOptimal consumption and investment strategies with stochastic interest rates

Claus Munk Y2003

OA

Articlegreen2003

Optimal consumption and investment strategies with stochastic interest rates

Claus Munk Y · Carsten Sørensen

113 citations·0/0 files stored·Journal of Banking & Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1985A Theory of the Term Structure of Interest Rates 1973An Intertemporal Capital Asset Pricing Model 1977An equilibrium characterization of the term structure 1971Optimum consumption and portfolio rules in a continuous-time model 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 1989Business conditions and expected returns on stocks and bonds 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1987Parsimonious Modeling of Yield Curves

Cited by

2012Robust Portfolio Choice with Uncertainty About Jump and Diffusion Risk 2011Optimal Housing, Consumption, and Investment Decisions over the Life Cycle 2008Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences 2013Robust portfolio choice with stochastic interest rates 2012Portfolios and risk premia for the long run 2005

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Details

Year2003

Typearticle

Published2003-12-19

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations113

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jbankfin.2003.07.002

openalex_workW1604073885

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