We aim to construct a general framework for portfolio management in continuous time, encompassing both stocks and bonds. In these lecture notes we give an overview of the state of the art of optimal bond portfolios and we re-visit main results and mathematical constructions introduced in our previous publications (Ann. Appl. Probab. 15, 1260–1305 (2005) and Fin. Stoch. 9, 429–452 (2005)).
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Ekeland, I., Taflin, E. (2007). Optimal Bond Portfolios. In: Paris-Princeton Lectures on Mathematical Finance 2004. Lecture Notes in Mathematics, vol 1919. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-73327-0_2
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