A theory of bond portfolios
By Ivar Ekeland, E. Taflin. 2003
98 citations recorded by the source corpus.
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.
Subfields: Economics and Econometrics, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/d3f2dd045ea9a16763ee94b7e352d59e3db8bbca
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In Economics and Econometrics
- Michael Tehranchi
- René A. Carmona
- Daniel Lacker
- Markus Fischer
- François Delarue
- Franccois Delarue
- D. Crisan
- Shige Peng
In Finance
- Michael Tehranchi
- René A. Carmona
- Daniel Lacker
- Markus Fischer
- François Delarue
- Peter Tankov
- Franccois Delarue
- Dylan Possamaï
In Management Science and Operations Research
Citations in the corpus
- A Characterization of Hedging Portfolios for Interest Rate Contingent Claims (2004, methodology): “Also we would like to mention that, after the completion of this work, we received a copy of the preprint of Ekeland and Taflin (2002) in which a related optimal bond portfolio problem is solved.”