Cahiers du CEREMADE

Unité Mixte de Recherche du C.N.R.S. N°7534
 
Abstract : We introduce a bond portfolio management theory based on foundations similar to that 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.
 
 
A THEORY OF BOND PORTFOLIOS
EKELAND Ivar., TAFLIN Erik
2003-3
23-01-2003
 
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