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Bond Ladders and Optimal Portfolios

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  • Kenneth L. JUDD

    (Stanford University)

  • Felix KUBLER

    (University of Zurich and Swiss Finance Institute)

  • Karl SCHMEDDERS

    (University of Zurich)

Abstract

The paper examines a game-theoretic model of a financial market in which asset prices are determined endogenously in terms of short-run equilibrium. Investors use general, adaptive strategies depending on the exogenous states of the world and the observed history of the game. The main goal is to identify strategies, allowing an investor to "survive," i.e. to possess a positive, bounded away from zero, share of market wealth over the in?nite time horizon. This work links recent studies on evolutionary ?nance to the classical topic of games of survival pioneered by Milnor and Shapley in the 1950s.

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Bibliographic Info

Paper provided by Swiss Finance Institute in its series Swiss Finance Institute Research Paper Series with number 08-32.

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Length: 45 pages
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Handle: RePEc:chf:rpseri:rp0832

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Web page: http://www.SwissFinanceInstitute.ch
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Keywords: Bond ladders; reinvestment risk; portfolio choice; bonds; consol.;

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