This paper introduces a continuous-time dynamic asset allocation model for an investor facing liability constraints in the presence of inflation and interest rate risks.
Professor of Finance, EDHEC Business School and Scientific Director, EDHEC-Risk Institute
Research Engineer, EDHEC-Risk Institute
|Type :||Working paper|
|Date :||le 08/12/2008|
|Extra information :||For more information, please contact EDHEC Research and Development Department [ firstname.lastname@example.org ]|
|Research Cluster :||Finance|