منابع مشابه
Bond Ladders and Optimal Portfolios∗
This paper examines portfolios within the framework of a dynamic asset-pricing model when investors can trade equity assets as well as bonds of many different maturities. We specify the model so that investors have demand for both a risky and a safe income stream. We characterize the resulting optimal equilibrium stock and bond portfolios and document that optimal bond investment strategies par...
متن کاملOptimal Bond Portfolios
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. 15, 1260–1305 (2005) and Fin. Stoch. 9, 429–452 (2005)). A sol...
متن کاملThe optimal rubbling number of ladders, prisms and Möbius-ladders
A pebbling move on a graph removes two pebbles at a vertex and adds one pebble at an adjacent vertex. Rubbling is a version of pebbling where an additional move is allowed. In this new move, one pebble each is removed at vertices v and w adjacent to a vertex u, and an extra pebble is added at vertex u. A vertex is reachable from a pebble distribution if it is possible to move a pebble to that v...
متن کاملA Theory of Bond Portfolios
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 vo...
متن کاملCorporate Bond Portfolios and Macroeconomic Conditions∗
We propose an approach to optimally select corporate bond portfolios based on bond-specific characteristics (maturity, credit rating, coupon, illiquidity, past performance, and issue size) and macroeconomic conditions (recessions and macroeconomic uncertainty measures). The approach relies on a parametric specification of the portfolio weights and allows us to consider a large cross-section of ...
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ژورنال
عنوان ژورنال: Review of Financial Studies
سال: 2011
ISSN: 0893-9454,1465-7368
DOI: 10.1093/rfs/hhr074