Optimal bond portfolios with fixed time to maturity

Patrik Andersson and Andreas N. Lagerås

Insurance: Mathematics and Economics, 2013, vol. 53, issue 2, 429-438

Abstract: We study interest rate models where the term structure is given by an affine relation and in particular where the driving stochastic processes are so-called generalized Ornstein–Uhlenbeck processes.

Keywords: Interest rate models; Rolling horizon bonds; Generalized Ornstein–Uhlenbeck processes; Affine term structure; Mean–variance portfolio (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:53:y:2013:i:2:p:429-438

DOI: 10.1016/j.insmatheco.2013.07.009

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