Dynamic Optimality of Yield Curve Strategies
Author
Abstract
Suggested Citation
Download full text from publisher
To our knowledge, this item is not available for download. To find whether it is available, there are three options:1. Check below whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Other versions of this item:
- Takao Kobayashi & Akihiko Takahashi & Norio Tokioka, 2003. "Dynamic Optimality of Yield Curve Strategies," International Review of Finance, International Review of Finance Ltd., vol. 4(1‐2), pages 49-78, March.
- Takao Kobayashi & Akihiko Takahashi & Norio Tokioka, 2004. "Dynamic Optimality of Yield Curve Strategies," CIRJE F-Series CIRJE-F-299, CIRJE, Faculty of Economics, University of Tokyo.
References listed on IDEAS
- Brennan, Michael J. & Schwartz, Eduardo S. & Lagnado, Ronald, 1997. "Strategic asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1377-1403, June.
- Merton, Robert C., 1971.
"Optimum consumption and portfolio rules in a continuous-time model,"
Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December.
- R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers 58, Massachusetts Institute of Technology (MIT), Department of Economics.
- Akihiko Takahashi & Nakahiro Yoshida, 2005. "Monte Carlo Simulation with Asymptotic Method," CIRJE F-Series CIRJE-F-335, CIRJE, Faculty of Economics, University of Tokyo.
- Akihiko Takahashi & Nakahiro Yoshida, 2004. "An Asymptotic Expansion Scheme for Optimal Investment Problems," Statistical Inference for Stochastic Processes, Springer, vol. 7(2), pages 153-188, May.
- Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," The Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-592.
- Jérôme B. Detemple & Ren Garcia & Marcel Rindisbacher, 2003.
"A Monte Carlo Method for Optimal Portfolios,"
Journal of Finance, American Finance Association, vol. 58(1), pages 401-446, February.
- Jérôme Detemple & René Garcia & Marcel Rindisbacher, 2000. "A Monte-Carlo Method for Optimal Portfolios," CIRANO Working Papers 2000s-05, CIRANO.
- Naoto Kunitomo & Akihiko Takahashi, 2001. "The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims," Mathematical Finance, Wiley Blackwell, vol. 11(1), pages 117-151, January.
- Naoto Kunitomo & Akihiko Takahashi, 2004. "Applications of the Asymptotic Expansion Approach based on Malliavin-Watanabe Calculus in Financial Problems," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 10, pages 195-232, World Scientific Publishing Co. Pte. Ltd..
- Cox, John C. & Huang, Chi-fu, 1989. "Optimal consumption and portfolio policies when asset prices follow a diffusion process," Journal of Economic Theory, Elsevier, vol. 49(1), pages 33-83, October.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Akihiko Takahashi & Kohta Takehara, 2008. "A Hybrid Asymptotic Expansion Scheme: an Application to Long-term Currency Options ( Revised in April 2008, January 2009 and April 2010; forthcoming in "International Journal of Theoretical and A," CARF F-Series CARF-F-116, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Akihiko Takahashi & Kohta Takehara, 2010. "A Hybrid Asymptotic Expansion Scheme: an Application to Long-term Currency Options," CIRJE F-Series CIRJE-F-734, CIRJE, Faculty of Economics, University of Tokyo.
- Akihiko Takahashi & Kohta Takehara, 2008. "Fourier Transform Method with an Asymptotic Expansion Approach: an Application to Currency Options," CIRJE F-Series CIRJE-F-538, CIRJE, Faculty of Economics, University of Tokyo.
- Akihiko Takahashi & Kohta Takehara, 2009. "Asymptotic Expansion Approaches in Finance: Applications to Currency Options," CARF F-Series CARF-F-165, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Akihiko Takahashi & Kohta Takehara, 2007. "Fourier Transform Method with an Asymptotic Expansion Approach: an Application to Currency Options ( Revised in December 2008; subsequently published in "International Journal of Theoretical and ," CARF F-Series CARF-F-097, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Akihiko Takahashi & Kohta Takehara, 2009. "Asymptotic Expansion Approaches in Finance: Applications to Currency Options," CIRJE F-Series CIRJE-F-654, CIRJE, Faculty of Economics, University of Tokyo.
- Akihiko Takahashi & Kohta Takehara, 2007. "An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates (Revised in August 2007 and January 2009; subseq," CARF F-Series CARF-F-092, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Keita Nakayama & Akihiko Takahashi, 2007. "A Factor Allocation Approach to Optimal Bond Portfolio," CIRJE F-Series CIRJE-F-494, CIRJE, Faculty of Economics, University of Tokyo.
- Akihiko Takahashi & Kohta Takehara, 2007. "An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(1), pages 69-121, March.
- Keita Nakayama & Akihiko Takahashi, 2007. "A Factor Allocation Approach to Optimal Bond Portfolio," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(4), pages 299-324, December.
- Akihiko Takahashi & Kohta Takehara, 2007. "An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates," CIRJE F-Series CIRJE-F-474, CIRJE, Faculty of Economics, University of Tokyo.
- Akihiko Takahashi, 2015. "Asymptotic Expansion Approach in Finance," CARF F-Series CARF-F-356, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Aug 2015.
- Akihiko Takahashi & Kohta Takehara & Masashi Toda, 2009. "Computation in an Asymptotic Expansion Method," CARF F-Series CARF-F-149, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Akihiko Takahashi & Kohta Takehara, 2007. "An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(1), pages 69-121, March.
- Akihiko Takahashi & Kohta Takehara, 2007. "An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates (Revised in August 2007 and January 2009; subseq," CARF F-Series CARF-F-092, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Masahiro Nishiba, 2013. "Pricing Exotic Options and American Options: A Multidimensional Asymptotic Expansion Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(2), pages 147-182, May.
- Akihiko Takahashi & Kohta Takehara & Masashi Toda, 2009. "Computation in an Asymptotic Expansion Method," CARF F-Series CARF-F-149, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Akihiko Takahashi & Kohta Takehara, 2008. "A Hybrid Asymptotic Expansion Scheme: an Application to Long-term Currency Options ( Revised in April 2008, January 2009 and April 2010; forthcoming in "International Journal of Theoretical and A," CARF F-Series CARF-F-116, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Akihiko Takahashi & Masashi Toda, 2013. "Note on an Extension of an Asymptotic Expansion Scheme," CARF F-Series CARF-F-312, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan R. Stroud, 2005.
"A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability,"
The Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 831-873.
- Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan Storud, 2004. "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability," NBER Working Papers 10934, National Bureau of Economic Research, Inc.
- Akihiko Takahashi & Kohta Takehara, 2009. "Asymptotic Expansion Approaches in Finance: Applications to Currency Options," CARF F-Series CARF-F-165, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Chenxu Li & O. Scaillet & Yiwen Shen, 2020.
"Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets,"
Swiss Finance Institute Research Paper Series
20-22, Swiss Finance Institute.
- Li, Chenxu & Scaillet, Olivier & Shen, Yiwen, 2020. "Decomposition of optimal dynamic portfolio choice with wealth-dependent utilities in incomplete markets," Working Papers unige:138414, University of Geneva, Geneva School of Economics and Management.
- Akihiko Takahashi, 2015. "Asymptotic Expansion Approach in Finance," CARF F-Series CARF-F-356, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Aug 2015.
- Akihiko Takahashi & Yukihiro Tsuzuki, 2013. "A New Improvement Scheme for Approximation Methods of Probability Density Functions," CIRJE F-Series CIRJE-F-874, CIRJE, Faculty of Economics, University of Tokyo.
- Akihiko Takahashi & Kohta Takehara, 2010. "A Hybrid Asymptotic Expansion Scheme: an Application to Long-term Currency Options," CIRJE F-Series CIRJE-F-734, CIRJE, Faculty of Economics, University of Tokyo.
- Akihiko Takahashi & Kohta Takehara, 2008. "Fourier Transform Method with an Asymptotic Expansion Approach: an Application to Currency Options," CIRJE F-Series CIRJE-F-538, CIRJE, Faculty of Economics, University of Tokyo.
- Jérôme Detemple, 2014. "Portfolio Selection: A Review," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 1-21, April.
- Akihiko Takahashi & Kohta Takehara, 2007. "Fourier Transform Method with an Asymptotic Expansion Approach: an Application to Currency Options ( Revised in December 2008; subsequently published in "International Journal of Theoretical and ," CARF F-Series CARF-F-097, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Boyle, Phelim & Imai, Junichi & Tan, Ken Seng, 2008. "Computation of optimal portfolios using simulation-based dimension reduction," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 327-338, December.
- Detemple, Jérôme & Garcia, René & Rindisbacher, Marcel, 2005. "Intertemporal asset allocation: A comparison of methods," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2821-2848, November.
- Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
- Akihiko Takahashi & Kohta Takehara & Masashi Toda, 2009. "Computation in an Asymptotic Expansion Method," CIRJE F-Series CIRJE-F-621, CIRJE, Faculty of Economics, University of Tokyo.
- Chenxu Li & Olivier Scaillet & Yiwen Shen, 2020. "Wealth Effect on Portfolio Allocation in Incomplete Markets," Papers 2004.10096, arXiv.org, revised Aug 2021.
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2001-12-04 (Financial Markets)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tky:fseres:2001cf141. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CIRJE administrative office (email available below). General contact details of provider: https://edirc.repec.org/data/ritokjp.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.