-additive risk measures, for which the eligible asset is a risk-free bond, on the grounds that the general case can be reduced to the …, typically when the eligible asset is a defaultable bond. In this paper we fill this gap allowing for general eligible assets. We …, when the eligible asset is a defaultable bond, cash subadditivity is the exception rather than the rule. Finally, we …

The book analyzes how modern portfolio theory and dynamic term structure models can be applied to government bond …The book analyzes how modern portfolio theory and dynamic term structure models can be applied to government bond …-period and continuous-time bond portfolio optimization problems are considered. …