  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 problem of optimal portfolios of zero-coupon bonds is
solved for general utility functions, under a condition of no-arbitrage in the
zero-coupon market. A mutual fund theorem is proved, in the case of
deterministic volatilities. Explicit expressions are given for the optimal
solutions for several utility functions.

Optimization and Control;Portfolio Management