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dc.contributor.authorEkeland, Ivar
dc.contributor.authorTaflin, Erik
dc.date.accessioned2011-04-26T08:57:48Z
dc.date.available2011-04-26T08:57:48Z
dc.date.issued2005
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/6041
dc.language.isoenen
dc.subjectBond portfoliosen
dc.subjectoptimal portfoliosen
dc.subjectutility optimizationen
dc.subjectRoll-oversen
dc.subjectHilbert space valued processesen
dc.subject.ddc519en
dc.subject.classificationjelG11en
dc.titleA theory of bond portfoliosen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe 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.en
dc.relation.isversionofjnlnameThe Annals of Applied Probability
dc.relation.isversionofjnlvol15en
dc.relation.isversionofjnlissue2en
dc.relation.isversionofjnldate2005
dc.relation.isversionofjnlpages1260-1305en
dc.identifier.urlsitehttp://projecteuclid.org/euclid.aoap/1115137975en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherInstitute of Mathematical Statisticsen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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