We model term structure dynamics using a recursive cascade of heterogeneously persistent factors. The cascade naturally orders the factors by their adjustment speeds, and generates smooth zero-coupon bond prices and forward curves in closed form. For a class of specifications, the number of...

We study market-timing strategies on a given portfolio to achieve a particular risk or return target. Targeting a constant risk level leads to increasing investment at better investment opportunities whereas targeting a constant expected return does the opposite. Theoretical and numerical...