CIRJE-J-56. Tokioka, Norio, Akira Takahashi and Takao Kobayashi, "Dynamic Optimality of Some Yield Curve Strategies", May 2001.

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.