2008•Journal of Qiqihar UniversityRequires access
Optimal portfolio of convertible bond under logarithmic utility
Jiezhong Zou
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Abstract
The value of convertible bonds consists of two parts,the bond part and the option part.If not considering some attached provision such as redemption and sell-back treaty,the convertible bond can be treated as an American call option.As we know the formulation of the value of convertible bonds,by making use of the general theory of optimal portifolio,this paper represent the optimal portifolio of convertible bond under logarithmic utility.