Self--nancing Trading Strategies for Sliding, Rolling-horizon, and Consol Bonds

The time evolution of a sliding bond is studied in a discrete-and continuous-time setup (by deenition, a sliding bond represents the price process of a discount bond with a xed time to maturity). Examples of measure-valued trading strategies (introduced by Bjj ork et al. 2],,3]), which are based on the price process of a sliding bond, are provided. In particular, a strategy which involves holding at any time one unit of a sliding bond is examined (the wealth process of such a strategy is referred to as the rolling-horizon bond). In contrast to the sliding bond, which does not represent a security, the rolling-horizon bond seems to be a suitable choice of a xed-income security with innnite lifespan in portfolio optimization problems.