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A Factor Allocation Approach to Optimal Bond Portfolio
Nakayama, Keita
98862
Takahashi, Akihiko
98863
335
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This paper proposes a new method to a bond portfolio problem in a multi-period setting. In particular, we apply a factor allocation approach to constructing the optimal bond portfolio in a class of multi-factor Gaussian yield curve models. In other words, we consider a bond portfolio problem in terms of a factors'allocation problem. Thus, we can obtain clear interpretation about the relation between the change in the shape of a yield curve and dynamic optimal strategy, which is usually hard to be obtained due to high correlations among individual bonds. We first present a closed form solution of the optimal bond portfolio in a class of the multi-factor Gaussian term structure model. Then, we investigate the effects of various changes in the term structure on the optimal portfolio strategy through series of comparative statics.
forthcoming in Asia-Pacific Financial Markets; Revised in March 2008.
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technical report
日本経済国際共同センター
2008-03
Discussion paper series. CIRJE-F
CIRJE-F-547
AA11450569
eng
http://www.cirje.e.u-tokyo.ac.jp/research/dp/2008/2008cf547ab.html
http://hdl.handle.net/2261/7233
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