Optimal Bond Portfolios

Ivar Ekeland and Erik Taflin

Papers from arXiv.org

Abstract: We aim to construct a general framework for portfolio management in continuous time, encompassing both stocks and bonds. In these lecture notes we give an overview of the state of the art of optimal bond portfolios and we re-visit main results and mathematical constructions introduced in our previous publications (Ann. Appl. Probab. \textbf{15}, 1260--1305 (2005) and Fin. Stoch. {\bf9}, 429--452 (2005)). A solution of the optimal bond portfolio problem is given for general utility functions and volatility operator processes, provided that the market price of risk process has certain Malliavin differentiability properties or is finite dimensional. The text is essentially self-contained.

Date: 2005-10, Revised 2007-04
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://arxiv.org/pdf/math/0510333 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:math/0510333

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().