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dc.date.accessioned2013-05-09T10:23:30Z
dc.date.issued2012en_US
dc.date.submitted2012-06-07en_US
dc.identifier.citationDyrseth, Aleksander. Optimal Bond Portfolios in a Heath-Jarrow-Morton Framework. Masteroppgave, University of Oslo, 2012en_US
dc.identifier.urihttp://hdl.handle.net/10852/10806
dc.description.abstractWe study optimal investments in rolling-horizon bond portfolios. Combinations of a money-market account and 1 to 3 rolling-horizon bonds are considered. Forward interest rates are modelled using finite dimensional realizations of HJM-models. Money-market account has return being the implied short rate from the forward interest rate model. We state minimal realizations of the forward interest rate models in terms of diffusion processes. From the definition of self-financing roll-over strategy, we state the value process of rolling-horizon bonds. We solve optimal control problems by means of direct approach when the volatility has constant-, exponential-, hump-shapedand combined constant and exponential structure. We state the Hamilton-Jacobi-Bellman equation of the stochastic control problem when the volatility structure is given by constant function. Further, we consider fixed-fraction rolling-horizon bond portfolios. By means of Monte Carlo simulations we are able to determine optimal fixed-fraction portfolios.eng
dc.language.isoengen_US
dc.titleOptimal Bond Portfolios in a Heath-Jarrow-Morton Frameworken_US
dc.typeMaster thesisen_US
dc.date.updated2013-05-08en_US
dc.creator.authorDyrseth, Aleksanderen_US
dc.date.embargoenddate10000-01-01
dc.rights.termsDette dokumentet er ikke elektronisk tilgjengelig etter ønske fra forfatter. Tilgangskode/Access code Aen_US
dc.rights.termsforeveren_US
dc.subject.nsiVDP::412en_US
dc.identifier.bibliographiccitationinfo:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&rft.au=Dyrseth, Aleksander&rft.title=Optimal Bond Portfolios in a Heath-Jarrow-Morton Framework&rft.inst=University of Oslo&rft.date=2012&rft.degree=Masteroppgaveen_US
dc.identifier.urnURN:NBN:no-31748en_US
dc.type.documentMasteroppgaveen_US
dc.identifier.duo166038en_US
dc.identifier.bibsys122508890en_US
dc.rights.accessrightsclosedaccessen_US
dc.identifier.fulltextFulltext https://www.duo.uio.no/bitstream/handle/10852/10806/3/ADyrsethMaster.pdf


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