Bond portfolio's duration and investment term-structure management problem (Q871354)
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scientific article; zbMATH DE number 5134597
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| English | Bond portfolio's duration and investment term-structure management problem |
scientific article; zbMATH DE number 5134597 |
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Bond portfolio's duration and investment term-structure management problem (English)
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19 March 2007
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Summary: In the considered bond market, there are \(N\) zero-coupon bonds transacted continuously, which will mature at equally spaced dates. A duration of bond portfolios under stochastic interest rate model is introduced, which provides a measurement for the interest rate risk. Then we consider an optimal bond investment term-structure management problem using this duration as a performance index, and with the short-term interest rate process satisfying some stochastic differential equation. Under some technique conditions, an optimal bond portfolio process is obtained.
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