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Journal articles (1993), European Economic Review, pp. 1127-1147

Investment and Hedging under a Stochastic Yield Curve

PONCET Patrice , PORTAIT Roland

This paper determines optimal portfolios involving both fixed and non-fixed income securities under a 2-state variable yield curve, without constraints and with constraints plus Futures.

PONCET, P. and PORTAIT, R. (1993). Investment and Hedging under a Stochastic Yield Curve. European Economic Review, pp. 1127-1147.