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

[摘要] In the considered bond market, there areNzero-coupon bondstransacted continuously, which will mature at equally spaceddates. A duration of bond portfolios under stochastic interestrate model is introduced, which provides a measurement for theinterest rate risk. Then we consider an optimal bond investmentterm-structure management problem using this duration as aperformance index, and with the short-term interest rate processsatisfying some stochastic differential equation. Under sometechnique conditions, an optimal bond portfolio process is obtained.

[学科分类] 应用数学