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- W1573779681 abstract "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 structure movements." @default.
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- W1573779681 date "2001-05-01" @default.
- W1573779681 modified "2023-09-27" @default.
- W1573779681 title "Dynamic Optimality of Some Yield Curve Strategies (in Japanese)" @default.
- W1573779681 hasPublicationYear "2001" @default.
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