On Bond Portfolio Management

Details On Bond Portfolio Management On Bond Portfolio Management

2002-08-17

arxiv.org/abs/math/0208130v2

Mathematics

Optimization and Control

23 pages, extensively revised version, figures are included

Scientific paper

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.

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