A factor allocation approach to optimal bond portfolio

DOI10.1007/S10690-008-9064-2MaRDI QIDQ841841zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

Clark-Ocone formulamartingale methoddynamic bond portfolio problemmulti-factor affine term structure model

Mathematics Subject Classification ID

Recommendations

• Bond portfolio optimization
• Optimal portfolio choice in the bond market
• Optimal bond portfolio for investors with long time horizons
• A theory of bond portfolios
• Optimal Bond Portfolios

Cites work

• A Monte Carlo filtering approach for estimating the term structure of interest rates
• A generalized clark representation formula, with application to optimal portfolios
• An asymptotic expansion scheme for optimal investment problems
• An equilibrium characterization of the term structure
• Optimum consumption and portfolio rules in a continuous-time model
• Pricing interest-rate-derivative securities
• Stochastic Interest Rates and the Bond-Stock Mix

Cited in

(7)

• Intertemporal asset allocation when the underlying factors are unobservable
• Optimal bond portfolio for investors with long time horizons
• A portfolio-based evaluation of affine term structure models
• Optimal portfolio choice in the bond market
• Bond portfolio optimization
• How to find a bond portfolio with the highest convexity in a class of fixed duration portfolios
• scientific article; zbMATH DE number 5696804 (Why is no real title available?)

This page was built for publication: A factor allocation approach to optimal bond portfolio

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q841841)