A theory of bond portfolios

• 成果类型: Article
• 署名作者: Ekeland, I; Taflin, E
• 署名单位: University of British Columbia; CY Cergy Paris Universite; Ecole Internationale des Sciences du Traitement de linformation
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/105051605000000160
• 发表日期: 2005
• 页码: 1260-1305
• 关键词: selection

摘要

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.