Optimal Bond Portfolios

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dc.creatorEkeland, Ivar
dc.creatorTaflin, Erik
dc.date2005-10-16
dc.date2007-04-23
dc.date.accessioned2026-07-07T12:11:14Z
dc.date.available2026-07-07T12:11:14Z
dc.descriptionWe aim to construct a general framework for portfolio management in continuous time, encompassing both stocks and bonds. In these lecture notes we give an overview of the state of the art of optimal bond portfolios and we re-visit main results and mathematical constructions introduced in our previous publications (Ann. Appl. Probab. \textbf{15}, 1260--1305 (2005) and Fin. Stoch. {\bf9}, 429--452 (2005)). A solution of the optimal bond portfolio problem is given for general utility functions and volatility operator processes, provided that the market price of risk process has certain Malliavin differentiability properties or is finite dimensional. The text is essentially self-contained.
dc.description58 pages, lecture notes submitted to LNM
dc.identifierhttps://arxiv.org/abs/math/0510333
dc.identifierhttp://arxiv.org/abs/math/0510333
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210159
dc.subjectOptimization and Control
dc.subjectPortfolio Management
dc.subject91B28, 49J55, 60H07, 90C46
dc.titleOptimal Bond Portfolios
dc.typetext

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