A theory of bond portfolios
We 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.
|Date of creation:||2005|
|Date of revision:|
|Publication status:||Published in The Annals of Applied Probability, 2005, Vol. 15, no. 2. pp. 1260-1305.Length: 45 pages|
|Contact details of provider:|| Web page: http://www.dauphine.fr/en/welcome.html|
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