Tokioka, Norio; Takahashi, Akira; Kobayashi, Takao - Center for International Research on the Japanese … - 2001
This paper formulates and analyzes a dynamic optimization problem of bond portfolios within the Markovian Heath-Jarrow-Morton term structure models. In particular we find the exact comdition under which the so-called barbell/bullet strategies become optimal relative to the forecasted term...