A theory of bond portfolios

DOI10.1214/105051605000000160zbMath1125.91051arXivmath/0301278OpenAlexW2260308503MaRDI QIDQ558672

Erik Taflin, Ivar Ekeland

Publication date: 13 July 2005

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0301278

zbMATH Keywords

utility optimizationBond portfoliosoptimal portfoliosHilbert space valued processesRoll-Overs

Mathematics Subject Classification ID

Related Items (27)

A characterization of hedging portfolios for interest rate contingent claims. ⋮ Optimal consumption problem in the Vasicek model ⋮ Bond market completeness under stochastic strings with distribution-valued strategies ⋮ A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization ⋮ Optimal portfolio choice in the bond market ⋮ Representation of infinite-dimensional forward price models in commodity markets ⋮ Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises ⋮ Generalized integrands and bond portfolios: pitfalls and counter examples ⋮ Almost sure convergence of a Galerkin approximation for SPDEs of Zakai type driven by square integrable martingales ⋮ No-arbitrage of second kind in countable markets with proportional transaction costs ⋮ Optimal portfolios in commodity futures markets ⋮ A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities ⋮ A stochastic control problem with delay arising in a pension fund model ⋮ UTILITY MAXIMIZATION IN A LARGE MARKET ⋮ A MIXED BOND AND EQUITY FUND MODEL FOR THE VALUATION OF VARIABLE ANNUITIES ⋮ On a Class of Generalized Integrands ⋮ A theory of stochastic integration for bond markets ⋮ In which financial markets do mutual fund theorems hold true? ⋮ Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise ⋮ Robust No Arbitrage of the Second Kind with a Continuum of Assets and Proportional Transaction Costs ⋮ Optimal bond portfolios with fixed time to maturity ⋮ Exponential moments for HJM models with jumps ⋮ Regularization of stochastic problems with respect to variables of different kinds ⋮ Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs ⋮ The forward dynamics in energy markets – infinite-dimensional modelling and simulation ⋮ No Arbitrage Theory for Bond Markets ⋮ Optimal Longevity Risk Transfer and Investment Strategies

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