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- W3121567485 abstract "The time evolution of a sliding bond is studied in discrete- and continuous-time setups. By definition, a sliding bond represents the price process of a discount bond with a fixed time to maturity. Examples of measure-valued trading strategies (introduced by Bjork et al. 1997a, 1997b) which are based on the price process of a sliding bond are discussed. In particular, a self-financing strategy that involves holding at any time one unit of a sliding bond is examined (the wealth process of this strategy is referred to as the rolling-horizon bond). In contrast to the sliding bond, which does not represent a tradable security, the rolling-horizon bond (or the rolling-consol bond) may play the role of a fixed-income security with infinite lifespan in portfolio management problems." @default.
- W3121567485 created "2021-02-01" @default.
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- W3121567485 date "1999-10-01" @default.
- W3121567485 modified "2023-10-18" @default.
- W3121567485 title "Self-Financing Trading Strategies for Sliding, Rolling-Horizon, and Consol Bonds" @default.
- W3121567485 doi "https://doi.org/10.1111/1467-9965.00074" @default.
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