Chiarella, Carl; Hsiao, Chih-Ying; Semmler, Willi - In: Computational Economics 29 (2007) 3, pp. 383-418
The aim of this paper is to develop an optimal long-term bond investment strategy which can be applied to real market situations. This paper employs Merton’s intertemporal framework to accommodate the features of a stochastic interest rate and the time-varying dynamics of bond returns. The...