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• W2069995945 abstract "Abstract 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 which is recommended in practice for an expected change in the shape of the yield curve. In the numerical analysis, we utilize a new technique based on the asymptotic expansion approach in order to increase efficiency in computation." @default.
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• W2069995945 date "2003-03-01" @default.
• W2069995945 modified "2023-10-04" @default.
• W2069995945 title "Dynamic Optimality of Yield Curve Strategies*" @default.
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• W2069995945 doi "https://doi.org/10.1111/j.1369-412x.2003.00043.x" @default.
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