Add to ORKGWe 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.ou
This paper addresses the hedging of bond portfolios interest rate risk by drawing on the classical o...
We present a computational methodology to value and hedge long term zero-coupon bonds trading in sho...
The existence of maxmim bond portfolios is proved in very general contexts, and so for instance, thi...
Abstract. An optimal investment problem is considered for a continuous-time market consisting of the...
The two main questions arising from the problem of optimal bond portfolio management concern the for...
In this paper, we elaborate a formula for determining the optimal strike price for a bond put option...
We study the optimal bond portfolio for an investor with long time horizonusing Japanese interest ra...
This paper proposes a new method to a bond portfolio problem in a multi-period setting. In particula...
In a discrete-time financial market setting, the paper relates various concepts introduced for dynam...
The optimal investment problem is studied for acontinuous time incomplete market model. It is assume...
Abstract In recent years there has been a significant growth of investment products aimed at attract...
We investigate the term structure of zero coupon bonds, in the case where the forward rate evolves ...
The problem of maximizing the expected utility is well understood in the context of a complete finan...
textIncomplete markets provide many challenges for both investment decisions and valuation problems...
Abstract In this paper, I propose the optimal hedging of bond portfolio VaR using bond options based...
This paper addresses the hedging of bond portfolios interest rate risk by drawing on the classical o...
We present a computational methodology to value and hedge long term zero-coupon bonds trading in sho...
The existence of maxmim bond portfolios is proved in very general contexts, and so for instance, thi...
Abstract. An optimal investment problem is considered for a continuous-time market consisting of the...
The two main questions arising from the problem of optimal bond portfolio management concern the for...
In this paper, we elaborate a formula for determining the optimal strike price for a bond put option...
We study the optimal bond portfolio for an investor with long time horizonusing Japanese interest ra...
This paper proposes a new method to a bond portfolio problem in a multi-period setting. In particula...
In a discrete-time financial market setting, the paper relates various concepts introduced for dynam...
The optimal investment problem is studied for acontinuous time incomplete market model. It is assume...
Abstract In recent years there has been a significant growth of investment products aimed at attract...
We investigate the term structure of zero coupon bonds, in the case where the forward rate evolves ...
The problem of maximizing the expected utility is well understood in the context of a complete finan...
textIncomplete markets provide many challenges for both investment decisions and valuation problems...
Abstract In this paper, I propose the optimal hedging of bond portfolio VaR using bond options based...
This paper addresses the hedging of bond portfolios interest rate risk by drawing on the classical o...
We present a computational methodology to value and hedge long term zero-coupon bonds trading in sho...
The existence of maxmim bond portfolios is proved in very general contexts, and so for instance, thi...