Optimal portfolio choice in the bond market

Abstract

We consider the Merton problem of optimal portfolio choice when the traded instruments are the set of zero-coupon bonds. Working within a Markovian Heath–Jarrow–Morton model of the interest rate term structure driven by an infinite-dimensional Wiener process, we give sufficient conditions for the existence and uniqueness of an optimal trading strategy. When… (More)
DOI: 10.1007/s00780-006-0019-z

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Cite this paper

@article{Ringer2006OptimalPC, title={Optimal portfolio choice in the bond market}, author={Nathanael Ringer and Michael Tehranchi}, journal={Finance and Stochastics}, year={2006}, volume={10}, pages={553-573} }