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

DOI10.1007/s10690-023-09401-2OpenAlexW4360608591MaRDI QIDQ6131011

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

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

Cites Work

• Model predictive control: Theory and practice - a survey
• Bond portfolio optimization
• A Theory of the Term Structure of Interest Rates
• A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
• Unnamed Item

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