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

Author

Listed:
  • Norio Tokioka

    (Faculty of Economics, Seikei University)

  • Akira Takahashi

    (Graduate School of Matehmatical Science, University of Tokyo)

  • Takao Kobayashi

    (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.

Suggested Citation

  • Norio Tokioka & Akira Takahashi & Takao Kobayashi, 2001. ""Dynamic Optimality of Some Yield Curve Strategies" (in Japanese)," CIRJE J-Series CIRJE-J-56, CIRJE, Faculty of Economics, University of Tokyo.
    • Handle: RePEc:tky:jseres:2001cj56
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    File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2001/2001cj56.pdf
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