A theory of bond portfolios

Ivar Ekeland; Erik Taflin

doi:10.1214/105051605000000160

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Home > Journals > Ann. Appl. Probab. > Volume 15 > Issue 2 > Article

May 2005 A theory of bond portfolios

Ivar Ekeland, Erik Taflin

Ann. Appl. Probab. 15(2): 1260-1305 (May 2005). DOI: 10.1214/105051605000000160

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Abstract

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.