Dynamic Optimality of Yield Curve Strategies

Takao Kobayashi (), Akihiko Takahashi and Norio Tokioka
Additional contact information
Akihiko Takahashi: Graduate School of Mathematical Science, University of Tokyo
Norio Tokioka: Faculty of Economics, Seikei University.

No CIRJE-F-141, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: This paper formulates and analyzes a dynamic optimization problem of bond portfolios within Markovian Heath-Jarrow-Morton term structure models. In particular, we investigate optimal yield curve strategies analytically and numerically, and provide theoretical justification for a typical strategy which is recommended in practice for an expected change in the shape of the yield curve. In the numerical analysis, we utilize a new technique based on the asymptotic expansion approach in order to increase efficiency in computation.

Pages: 32 pages
Date: 2001-11
New Economics Papers: this item is included in nep-fmk
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Citations: View citations in EconPapers (10)

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Related works:
Working Paper: Dynamic Optimality of Yield Curve Strategies (2004)
Journal Article: Dynamic Optimality of Yield Curve Strategies* (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2001cf141

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