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

zbMATH Open1185.91163MaRDI QIDQ871354FDOQ871354

Authors: Daobai Liu 

Publication date: 19 March 2007

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

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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 (8)

• A theory of bond portfolios
• A theoretical analysis for continuous-time models of the optimal allocation of short-term and long-term bonds
• The Power-Series Algorithm Applied to the Shortest-Queue Model
• Optimal bond portfolios with fixed time to maturity
• 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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