Bond portfolio's duration and investment term-structure management problem
نویسندگان
چکیده
منابع مشابه
Interest Rates Term Structure Forecasting and Bond Portfolio Risk Management
The dynamic Nelson-Siegel-style models, which are popular in the literature of interest rates term structure forecasting, may be unstable because of the potential existence of unit roots in the parameter series. In this paper, the dynamic Nelson-Siegel-style models are modified by modelling the first-order differenced instead of original parameter series. Empirical study shows that the modified...
متن کاملJoint affine term structure models: Conditioning information in international bond portfolios
In this paper, we propose a simple model for international bond investment. The investor can optimize a government bond portfolio in a discrete time horizon conditional on the common and local factors in international bond returns. The variation in the cross section and time series of treasury yields is captured by a joint affine term structure model (ATSM). Easy closed form solutions for the r...
متن کاملBond 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 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 کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Applied Mathematics and Stochastic Analysis
سال: 2006
ISSN: 1048-9533,1687-2177
DOI: 10.1155/jamsa/2006/76920