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Bond Ladders and Optimal Portfolios

Author

Listed:
  • 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.

Suggested Citation

  • Kenneth L. JUDD & Felix KUBLER & Karl SCHMEDDERS, "undated". "Bond Ladders and Optimal Portfolios," Swiss Finance Institute Research Paper Series 08-32, Swiss Finance Institute.
  • Handle: RePEc:chf:rpseri:rp0832
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    File URL: http://papers.ssrn.com/abstract=1289257
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    Keywords

    Bond ladders; reinvestment risk; portfolio choice; bonds; consol.;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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