On Bond Portfolio Management
Vladislav Kargin
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.
Create a lesson
Related papers
Stable Movement for Nondual Lipschitz Convex Optimization: Efficiency and Nearly Optimal Oracle Rates
David Martínez-Rubio, Cristóbal Guzmán
The First-Order Oracle Complexity of Lipschitz Convex Optimization in Nondual Settings
David Martínez-Rubio, Brian Bullins, Cristóbal Guzmán et al.
Complexity Of Output Feedback Stabilization
Amir Ali Ahmadi, Abraar Chaudhry, Ijay Narang et al.
Convergence rate of the moment-SOS hierarchy for univariate polynomial optimization
Didier Henrion, Mohab Safey El Din
Geometry and Convergence of Quadratically Regularized Optimal Transport I
Alberto González-Sanz, Marcel Nutz
Constraint Qualifications and Gradient Flows for Block Vanishing Constraint Problems
Julian Niederer, Christoph Hansknecht, Andreas Potschka et al.