Showing 1 - 3 of 3
Persistent link: https://www.econbiz.de/10004135264
Persistent link: https://www.econbiz.de/10000336289
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...
Persistent link: https://www.econbiz.de/10005467679