Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization
Fuente:
arXiv
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| Autori principali: | , , |
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| Natura: | Preprint |
| Pubblicazione: |
2022
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| _version_ | 1866910292258062336 |
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| author | Luxenberg, Eric Schiele, Philipp Boyd, Stephen |
| author_facet | Luxenberg, Eric Schiele, Philipp Boyd, Stephen |
| contents | The minimum (worst case) value of a long-only portfolio of bonds, over a convex set of yield curves and spreads, can be estimated by its sensitivities to the points on the yield curve. We show that sensitivity based estimates are conservative, \ie, underestimate the worst case value, and that the exact worst case value can be found by solving a tractable convex optimization problem. We then show how to construct a long-only bond portfolio that includes the worst case value in its objective or as a constraint, using convex-concave saddle point optimization. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2212_02570 |
| institution | arXiv |
| publishDate | 2022 |
| record_format | arxiv |
| spellingShingle | Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization Luxenberg, Eric Schiele, Philipp Boyd, Stephen Optimization and Control Portfolio Management The minimum (worst case) value of a long-only portfolio of bonds, over a convex set of yield curves and spreads, can be estimated by its sensitivities to the points on the yield curve. We show that sensitivity based estimates are conservative, \ie, underestimate the worst case value, and that the exact worst case value can be found by solving a tractable convex optimization problem. We then show how to construct a long-only bond portfolio that includes the worst case value in its objective or as a constraint, using convex-concave saddle point optimization. |
| title | Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization |
| topic | Optimization and Control Portfolio Management |
| url | https://arxiv.org/abs/2212.02570 |