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Optimal bond portfolios with fixed time to maturity |
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| Authors: | Patrik Andersson Andreas N Lagerås |
| Institution: | 1. Department of Mathematics, Stockholm University, SE-106 91 Stockholm, Sweden;2. AFA Insurance, SE-106 27 Stockholm, Sweden1 |
| Abstract: | We study interest rate models where the term structure is given by an affine relation and in particular where the driving stochastic processes are so-called generalized Ornstein–Uhlenbeck processes. |
| Keywords: | Interest rate models Rolling horizon bonds Generalized Ornstein&ndash Uhlenbeck processes Affine term structure Mean&ndash variance portfolio |
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