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Working Papers (1993), ESSEC Business School

Investment and Hedging under a Stochastic Yield Curve : A Two-state-variable, Multi-factor Model

Portfolio optimisation involving bonds, stocks and futures when two factors drive the yield curve and constraints may be imposed on the bond position.

PONCET, P. and PORTAIT, R. (1993). Investment and Hedging under a Stochastic Yield Curve : A Two-state-variable, Multi-factor Model. ESSEC Business School.