authors
- D AURIA, BERNARDO
- García Martí, Dolores
- SALMERON GARRIDO, JOSE ANTONIO
Optimal portfolio with insider information on the stochastic interest rate
Working Papers
Overview
publisher
publication date
- 2017
series title
- UC3M Working papers. Statistics and Econometrics
full text
series number
- 17-17
Classification
keywords
- optimal portfolio; enlargement of filtrations; vasicek interest rate model; value of the information