A Factor Allocation Approach to Optimal Bond Portfolio

Keita Nakayama and Akihiko Takahashi ()

Asia-Pacific Financial Markets, 2007, vol. 14, issue 4, 299-324

Keywords: Dynamic bond portfolio problem; Multi-factor affine term structure model; Martingale method; Clark–Ocone formula (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/s10690-008-9064-2

Asia-Pacific Financial Markets is currently edited by Jiro Akahori

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