On Bond Portfolio Management

2002/08/17 by Kargin, Vladislav
#FOS: Economics and business #FOS: Mathematics #Numerical Analysis (math.NA) #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM)

paper · doi:10.48550/arxiv.math/0208130

Abstract

This paper describes a new method of bond portfolio optimization based on stochastic string models of correlation structure in bond returns. The paper shows how to approximate correlation function of bond returns, compute the optimal portfolio allocation using Wiener-Hopf factorization, and check whether a collection of bonds presents arbitrage opportunities.

Related

• Optimal Bond Portfolios
• Portfolio Optimization in the Financial Market with Correlated Returns under Constraints, Transaction Costs and Different Rates for Borrowing and Lending
• Portfolio Allocation to Corporate Bonds with Correlated Defaults
• Reduced form models of bond portfolios
• Portfolio Optimization in the Stochastic Portfolio Theory Framework