Continuous Maturity Diversification of Default‐Free Bond Portfolios and a Generalization of Efficient Diversification
提出一种适用于证券数量不可数无限情况下的均值-方差组合选择方法，推导最优组合密度的存在条件和有效前沿表达式，并利用连续到期债券的协方差矩阵奇异性导出无套利债券定价方程。
ABSTRACT This paper presents a method for solving the mean‐variance portfolio selection problem that is applicable to the case where the number of securities is nondenumerably infinite. Necessary conditions for the existence of an optimal portfolio density are obtained and an expression for the efficient frontier is derived. The conditions for the existence of an optimal portfolio of continuously maturing bonds when their covariance matrix is singular are used to derive an arbitrage‐free bond pricing equation. A method for estimating the covariance matrix and the associated efficient frontier is presented.