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.
Publié le : 2005-05-14
Classification:
Bond portfolios,
optimal portfolios,
utility optimization,
Roll-Overs,
Hilbert space valued processes,
91B28,
49J55,
60H07,
90C46
@article{1115137975,
author = {Ekeland, Ivar and Taflin, Erik},
title = {A theory of bond portfolios},
journal = {Ann. Appl. Probab.},
volume = {15},
number = {1A},
year = {2005},
pages = { 1260-1305},
language = {en},
url = {http://dml.mathdoc.fr/item/1115137975}
}
Ekeland, Ivar; Taflin, Erik. A theory of bond portfolios. Ann. Appl. Probab., Tome 15 (2005) no. 1A, pp. 1260-1305. http://gdmltest.u-ga.fr/item/1115137975/