Dynamic Asset Allocation and Fixed Income Management
暂无分享,去创建一个
[1] Peter Ove Christensen,et al. Duration, Convexity, and Time Value , 1994 .
[2] Oldrich A. Vasicek. An equilibrium characterization of the term structure , 1977 .
[3] Eduardo S. Schwartz,et al. The Role of Learning in Dynamic Portfolio Decisions ? , 1998 .
[4] J. Cox,et al. Optimal consumption and portfolio policies when asset prices follow a diffusion process , 1989 .
[5] F. R. Macaulay,et al. The Movements of Interest Rates, Bond Yields and Stock Prices in the United States since 1856. , 1939 .
[6] Eduardo S. Schwartz,et al. Strategic asset allocation , 1997 .
[7] R. C. Merton,et al. Continuous-Time Finance , 1990 .
[8] Ts Kim,et al. Dynamic Nonmyopic Portfolio Behavior , 1994 .
[9] Ren-Raw Chen,et al. Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates , 1993 .
[10] Andrea Beltratti,et al. Stock Prices and Bond Yields: Can Their Comovements Be Explained in Terms of Present Value Models? , 1992 .
[11] R. C. Merton,et al. Optimum consumption and portfolio rules in a continuous - time model Journal of Economic Theory 3 , 1971 .
[12] A. Siegel,et al. Parsimonious modeling of yield curves , 1987 .
[13] R. C. Merton,et al. AN INTERTEMPORAL CAPITAL ASSET PRICING MODEL , 1973 .
[14] J. Campbell. Stock Returns and the Term Structure , 1985 .
[15] E. Fama,et al. BUSINESS CONDITIONS AND EXPECTED RETURNS ON STOCKS AND BONDS , 1989 .
[16] J. Ingersoll. Theory of Financial Decision Making , 1987 .
[17] G. Kaufman,et al. Duration models , 1988 .
[18] D. Duffie. Dynamic Asset Pricing Theory , 1992 .
[19] Stephen A. Ross,et al. Duration and the Measurement of Basis Risk , 1979 .
[20] Campbell R. Harvey,et al. An Empirical Comparison of Alternative Models of the Short-Term Interest Rate , 1992 .
[21] Roman L. Weil,et al. Duration Forty Years Later , 1978 .
[22] John C. Cox,et al. A variational problem arising in financial economics , 1991 .
[23] S. Ross,et al. A theory of the term structure of interest rates'', Econometrica 53, 385-407 , 1985 .
[24] Darrell Duffie,et al. Implementing Arrow-Debreu equilbria by continuous trading of a few long-lived securities , 1985 .