Optimal Bond Portfolio for Investors with Long Time Horizons

• 本多, 俊毅

  Hitotsubashi University

• 深谷, 竜司

抄録

We study the optimal bond portfolio for an investor with long time horizonusing Japanese interest rate data. A simple one-factor term structure modelis used for our numerical example. The optimal portfolio is computed using thetechnique of stochastic flows and Monte Carlo simulation. The hedgingportfolio is not negligible and the mean variance portfolio is very sensitiveto parameter values. The optimal portfolio is highly leveraged for a typicalparameter value. The investor holds a zero-coupon bond because of the lowerbound restriction on investor's wealth. The lower bound constraint may makethe optimal portfolio more realistic.

収録刊行物

• Asia-Pacific Financial Markets

  Asia-Pacific Financial Markets 8 (4), 291-320, 2001-12

  Springer Netherlands

キーワード

• dynamic optimportfolio
• hedging portfolio
• minimum-wealth constraint
• stochastic al control
• stochastic flows
• term-structure models

詳細情報

• CRID: 1050850490554469504
• NII論文ID: 120000816910
• NII書誌ID: AA11224457
• ISSN: 13872834
• HANDLE: 10086/15803
• 本文言語コード: en
• 資料種別: journal article
• データソース種別:
  • IRDB
  • CiNii Articles