[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
IDEAS home Printed from https://ideas.repec.org/p/chf/rpseri/rp0832.html
   My bibliography  Save this paper

Bond Ladders and Optimal Portfolios

Author

Listed:
  • Kenneth L. JUDD

    (Stanford University)

  • Felix KUBLER

    (University of Zurich and Swiss Finance Institute)

  • Karl SCHMEDDERS

    (University of Zurich)

Abstract
The paper examines a game-theoretic model of a financial market in which asset prices are determined endogenously in terms of short-run equilibrium. Investors use general, adaptive strategies depending on the exogenous states of the world and the observed history of the game. The main goal is to identify strategies, allowing an investor to "survive," i.e. to possess a positive, bounded away from zero, share of market wealth over the in?nite time horizon. This work links recent studies on evolutionary ?nance to the classical topic of games of survival pioneered by Milnor and Shapley in the 1950s.

Suggested Citation

  • Kenneth L. JUDD & Felix KUBLER & Karl SCHMEDDERS, 2008. "Bond Ladders and Optimal Portfolios," Swiss Finance Institute Research Paper Series 08-32, Swiss Finance Institute.
    • Handle: RePEc:chf:rpseri:rp0832
    as

    Download full text from publisher

    File URL: http://papers.ssrn.com/abstract=1289257
    Download Restriction: no
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Schmidhammer, Christoph & Hille, Vanessa & Wiedemann, Arnd, 2020. "Performance of maturity transformation strategies," Discussion Papers 58/2020, Deutsche Bundesbank.
    2. Jan Henrik Wosnitza, 2017. "The optimal trade-off between interest rate risk and annual return of bond ladders," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(4), pages 469-489, November.
    3. Halim, Edward & Riyanto, Yohanes Eko & Roy, Nilanjan, 2016. "Price Dynamics and Consumption Smoothing in Experimental Asset Markets," MPRA Paper 71631, University Library of Munich, Germany.

    More about this item

    Keywords

    Bond ladders; reinvestment risk; portfolio choice; bonds; consol.;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:chf:rpseri:rp0832. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ridima Mittal (email available below). General contact details of provider: https://edirc.repec.org/data/fameech.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.