Open AccessOptimum Portfolio DecisiWhen The Forward Rate Follows the Heath, Jarrow and Morton Model (HJM): A Utility Maximization Model
Author(s) -
Francisco Venegas Martínez,
Abigail Rodríguez Nava
Publication year - 2013
Publication title -
estocástica finanzas y riesgo (en línea)/estocástica finanzas y riesgo
Language(s) - English
Resource type - Journals
eISSN - 2007-5383
pISSN - 2007-5375
DOI - 10.24275/uam/azc/dcsh/efr/2013v3n2/venegas
Subject(s) - expected utility hypothesis , heath–jarrow–morton framework , mathematical optimization , mathematical economics , portfolio , hamilton–jacobi–bellman equation , dynamic programming , utility maximization problem , utility maximization , maximization , forward rate , portfolio optimization , interest rate , economics , mathematics , bellman equation , financial economics , finance