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| Main Author: | |
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| Format: | Preprint |
| Published: |
2002
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/math/0208130 |
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| _version_ | 1866915560099414016 |
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| author | Kargin, Vladislav |
| author_facet | Kargin, Vladislav |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_math_0208130 |
| institution | arXiv |
| publishDate | 2002 |
| record_format | arxiv |
| spellingShingle | On Bond Portfolio Management Kargin, Vladislav Optimization and Control Numerical Analysis Portfolio Management 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. |
| title | On Bond Portfolio Management |
| topic | Optimization and Control Numerical Analysis Portfolio Management |
| url | https://arxiv.org/abs/math/0208130 |