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Optimal bond portfolios with fixed time to maturity

Author

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  • Andersson, Patrik
  • Lagerås, Andreas N.

Abstract

We study interest rate models where the term structure is given by an affine relation and in particular where the driving stochastic processes are so-called generalized Ornstein–Uhlenbeck processes.

Suggested Citation

  • Andersson, Patrik & Lagerås, Andreas N., 2013. "Optimal bond portfolios with fixed time to maturity," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 429-438.
    • Handle: RePEc:eee:insuma:v:53:y:2013:i:2:p:429-438
    DOI: 10.1016/j.insmatheco.2013.07.009
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    References listed on IDEAS

    as
    1. Ivar Ekeland & Erik Taflin, 2003. "A theory of bond portfolios," Papers math/0301278, arXiv.org, revised May 2005.
    2. repec:dau:papers:123456789/6041 is not listed on IDEAS
    3. Diebold, Francis X. & Li, Canlin, 2006. "Forecasting the term structure of government bond yields," Journal of Econometrics, Elsevier, vol. 130(2), pages 337-364, February.
    4. Ole E. Barndorff‐Nielsen & Neil Shephard, 2003. "Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 30(2), pages 277-295, June.
    Full references (including those not matched with items on IDEAS)

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