"Dynamic Optimality of Some Yield Curve Strategies" (in Japanese)

This paper formulates and analyzes a dynamic optimization problem of bond portfolios within the Markovian Heath-Jarrow-Morton term structure models. In particular we find the exact comdition under which the so-called barbell/bullet strategies become optimal relative to the forecasted term structure movements.

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Year of publication:	2001-05
Authors:	Tokioka, Norio ; Takahashi, Akira ; Kobayashi, Takao
Institutions:	Center for International Research on the Japanese Economy (CIRJE), Faculty of Economics

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Extent:	application/pdf
Series:	CIRJE J-Series.
Type of publication:	Book / Working Paper
Language:	German
Notes:	Number CIRJE-J-56 20 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005467679