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A theory of bond portfolios

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Date
2005
Link to item file
http://projecteuclid.org/euclid.aoap/1115137975
Dewey
Probabilités et mathématiques appliquées
Sujet
Bond portfolios; optimal portfolios; utility optimization; Roll-overs; Hilbert space valued processes
JEL code
G11
Journal issue
The Annals of Applied Probability
Volume
15
Number
2
Publication date
2005
Article pages
1260-1305
Publisher
Institute of Mathematical Statistics
URI
https://basepub.dauphine.fr/handle/123456789/6041
Collections
  • CEREMADE : Publications
Metadata
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Author
Ekeland, Ivar
Taflin, Erik
Type
Article accepté pour publication ou publié
Abstract (EN)
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.

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