一个随机微分方程讨论.pdfVIP

Abstract Introduce a bond portfolio management theory based on foundations similar to those of stock portfolio management .A general continuous-time zero-coupon market is considered . The problem of optimal portfolios of zero-coupon bonds is solved for general utility functions,we get the solutions of stochastic differential equations without unbounded operator under a condition of no-arbitrage in the zero-coupon market.Explicit expressions are given for the optimal solutions for several utility functions. Key words: bond portfolios; optima