Bond portfolio's duration and investment term-structure management problem

zbMATH Open1185.91163MaRDI QIDQ871354FDOQ871354

Daobai Liu

Publication date: 19 March 2007

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cited In (6)

• A theory of bond portfolios
• The Power-Series Algorithm Applied to the Shortest-Queue Model
• OPTIMAL INVESTMENT DECISIONS FOR A PORTFOLIO WITH A ROLLING HORIZON BOND AND A DISCOUNT BOND
• How to find a bond portfolio with the highest convexity in a class of fixed duration portfolios
• On a model of investment strategy formation on the bonds market
• Title not available (Why is that?)

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