Kobayashi, Takao; Takahashi, Akihiko; Tokioka, Norio - In: International Review of Finance 4 (2003) 1-2, pp. 49-78
This paper formulates and analyzes a dynamic optimization problem of bond portfolios within Markovian Heath-Jarrow-Morton term structure models. In particular, we investigate optimal yield curve strategies analytically and numerically, and provide theoretical justification for a typical strategy...