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

Norio Tokioka, Akira Takahashi and Takao Kobayashi (tkobayashi@e.u-tokyo.ac.jp)
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Norio Tokioka: Faculty of Economics, Seikei University
Akira Takahashi: Graduate School of Matehmatical Science, University of Tokyo

No CIRJE-J-56, CIRJE J-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: 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.

Pages: 20 pages
Date: 2001-05
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Persistent link: https://EconPapers.repec.org/RePEc:tky:jseres:2001cj56

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