A factor allocation approach to optimal bond portfolio
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Publication:841841
DOI10.1007/s10690-008-9064-2zbMath1170.91395MaRDI QIDQ841841
Keita Nakayama, Akihiko Takahashi
Publication date: 18 September 2009
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-008-9064-2
Clark-Ocone formula; martingale method; dynamic bond portfolio problem; multi-factor affine term structure model
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- An asymptotic expansion scheme for optimal investment problems
- Stochastic Interest Rates and the Bond-Stock Mix
- A generalized clark representation formula, with application to optimal portfolios
- An equilibrium characterization of the term structure
- Pricing Interest-Rate-Derivative Securities
- A Monte Carlo filtering approach for estimating the term structure of interest rates