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

DOI10.1007/S10690-023-09401-2OpenAlexW4360608591MaRDI QIDQ6131011FDOQ6131011

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

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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)

Cites Work

• A theory of the term structure of interest rates
• Model predictive control: Theory and practice - a survey
• Title not available (Why is that?)
• A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
• Bond portfolio optimization

Cited In (1)

• Sukuk versus bonds: mathematically literature study

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