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Optimal portfolio choice in the bond market

Author

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  • Nathanael Ringer
  • Michael Tehranchi

Abstract

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Suggested Citation

  • Nathanael Ringer & Michael Tehranchi, 2006. "Optimal portfolio choice in the bond market," Finance and Stochastics, Springer, vol. 10(4), pages 553-573, December.
    • Handle: RePEc:spr:finsto:v:10:y:2006:i:4:p:553-573
    DOI: 10.1007/s00780-006-0019-z
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    References listed on IDEAS

    as
    1. Ivar Ekeland & Erik Taflin, 2003. "A theory of bond portfolios," Papers math/0301278, arXiv.org, revised May 2005.
    2. Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-257, August.
    3. Rene Carmona & Michael Tehranchi, 2004. "A Characterization of Hedging Portfolios for Interest Rate Contingent Claims," Papers math/0407119, arXiv.org.
    4. repec:dau:papers:123456789/6041 is not listed on IDEAS
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Charles Shaw, 2022. "Portfolio Diversification Revisited," Papers 2204.13398, arXiv.org.
    2. Szymon Peszat & Dariusz Zawisza, 2020. "The investor problem based on the HJM model," Papers 2010.13915, arXiv.org, revised Dec 2021.
    3. Fred Benth & Jukka Lempa, 2014. "Optimal portfolios in commodity futures markets," Finance and Stochastics, Springer, vol. 18(2), pages 407-430, April.
    4. Oleksii Mostovyi, 2014. "Utility maximization in the large markets," Papers 1403.6175, arXiv.org, revised Oct 2014.

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    More about this item

    Keywords

    Term structure of interest rates; Malliavin calculus; Utility maximization; Infinite-dimensional stochastic processes; E43; 60H07; 60H15; 91B28;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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