5 papers
In which Financial Markets do Mutual Fund Theorems hold true?
Walter Schachermayer, Mihai Sirbu, Erik Taflin
The Mutual Fund Theorem (MFT) is considered in a general semimartingale financial market S with a finite time horizon T, where agents maximize expected utility of terminal wealth.…
Optimal Bond Portfolios
Ivar Ekeland, Erik Taflin
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…
Bond Market Completeness and Attainable Contingent Claims
Erik Taflin
A general class, introduced in [Ekeland et al. 2003], of continuous time bond markets driven by a standard cylindrical Brownian motion $\wienerq{}{}$ in is considered.…
A theory of bond portfolios
Ivar Ekeland, Erik Taflin
We introduce a bond portfolio management theory based on foundations similar to those of stock portfolio management. A general continuous-time zero-coupon market is considered. The…
Equity Allocation and Portfolio Selection in Insurance: A simplified Portfolio Model
Erik Taflin
A quadratic discrete time probabilistic model, for optimal portfolio selection in (re-)insurance is studied. For positive values of underwriting levels, the expected value of the a…