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Identifier to cite or link to this item: https://hdl.handle.net/10086/15803

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Title
Optimal Bond Portfolio for Investors with Long Time Horizons
Creator
Creator Name
Honda, Toshiki Honda, Toshiki
本多, 俊毅 本多, 俊毅
Affiliation
Affiliation Name
Hitotsubashi University
Creator Name
Fukaya, Ryuji Fukaya, Ryuji
深谷, 竜司 深谷, 竜司
Rights
The original publication is available at www.springerlink.com.
Key Word
dynamic optimportfolio
hedging portfolio
minimum-wealth constraint
stochastic al control
stochastic flows
term-structure models
Abstract
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.
Publisher
Springer Netherlands
Issued Date
2001-12
Language
English(eng)
Resource Type
journal article
Version Type
AM
ISSN
1387-2834
NCID
AA11224457
Source Title
Asia-Pacific Financial Markets
Volume Number
8
Issue Number
4
Page Start
291
Page End
320
Appears in Collections
010a Journal Articles　=　雑誌掲載論文
URL
https://hdl.handle.net/10086/15803