Abstract
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.
Citation
Ivar Ekeland. Erik Taflin. "A theory of bond portfolios." Ann. Appl. Probab. 15 (2) 1260 - 1305, May 2005. https://doi.org/10.1214/105051605000000160
Information