A theory of bond portfolios

Simple item page
dc.creatorEkeland, Ivar
dc.creatorTaflin, Erik
dc.date2003-01-24
dc.date2005-05-20
dc.date.accessioned2026-07-07T12:11:07Z
dc.date.available2026-07-07T12:11:07Z
dc.descriptionWe 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.
dc.descriptionPublished 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)
dc.identifierhttps://arxiv.org/abs/math/0301278
dc.identifierhttp://arxiv.org/abs/math/0301278
dc.identifierAnnals of Applied Probability 2005, Vol. 15, No. 2, 1260-1305
dc.identifierdoi:10.1214/105051605000000160
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210129
dc.subjectOptimization and Control
dc.subjectPortfolio Management
dc.subject91B28, 49J55, 60H07, 90C46 (Primary)
dc.titleA theory of bond portfolios
dc.typetext

Files

Collections

arXiv