A factor allocation approach to optimal bond portfolio

DOI10.1007/s10690-008-9064-2zbMath1170.91395OpenAlexW2105514972MaRDI 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

zbMATH Keywords

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

Mathematics Subject Classification ID

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
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• 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