A factor allocation approach to optimal bond portfolio
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Publication:841841
DOI10.1007/S10690-008-9064-2zbMATH Open1170.91395OpenAlexW2105514972MaRDI QIDQ841841FDOQ841841
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
Recommendations
Clark-Ocone formulamartingale methoddynamic bond portfolio problemmulti-factor affine term structure model
Cites Work
- An equilibrium characterization of the term structure
- Pricing interest-rate-derivative securities
- Optimum consumption and portfolio rules in a continuous-time model
- An asymptotic expansion scheme for optimal investment problems
- A generalized clark representation formula, with application to optimal portfolios
- Stochastic Interest Rates and the Bond-Stock Mix
- A Monte Carlo filtering approach for estimating the term structure of interest rates
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
- Title not available (Why is that?)
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