Multi-period dynamic bond portfolio optimization utilizing a stochastic interest rate model

DOI10.1007/S10690-023-09401-2MaRDI QIDQ6131011zbMATH OpenOpenAlexFDO

Authors Yoshiyuki Shimai, Naoki Makimoto

Publication date 3 April 2024

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-023-09401-2

zbMATH Keywords

interest rate modellinear rebalancing rulesmulti-period dynamic portfolio optimizationyield curve forecasts

Mathematics Subject Classification ID

Portfolio theory (91G10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Optimal stochastic control (93E20)

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• scientific article; zbMATH DE number 7239782

Cites work

• scientific article; zbMATH DE number 1666093 (Why is no real title available?)
• A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
• A theory of the term structure of interest rates
• Bond portfolio optimization
• Model predictive control: Theory and practice - a survey

Cited in

(1)

• Sukuk versus bonds: mathematically literature study

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