A theory of bond portfolios

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We introduce a bond portfolio management theory based on foundations similar to those of stock portfolio management. A general continuous-time zero-coupon market is considered. The problem of optimal portfolios of zero-coupon bonds is solved for general utility functions, under a condition of no-arbitrage in the zero-coupon market. A mutual fund theorem is proved, in the case of deterministic volatilities. Explicit expressions are given for the optimal solutions for several utility functions.
Published at http://dx.doi.org/10.1214/105051605000000160 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)

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Optimization and Control, Portfolio Management, 91B28, 49J55, 60H07, 90C46 (Primary)

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http://salesiana.dossiersoluciones.com/handle/123456789/210129

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0301278
 http://arxiv.org/abs/math/0301278
 Annals of Applied Probability 2005, Vol. 15, No. 2, 1260-1305
 doi:10.1214/105051605000000160

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arXiv