On Bond Portfolio Management
Optimization and Control
2025-10-20 v2 Numerical Analysis
Numerical Analysis
Portfolio Management
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.
Cite
@article{arxiv.math/0208130,
title = {On Bond Portfolio Management},
author = {Vladislav Kargin},
journal= {arXiv preprint arXiv:math/0208130},
year = {2025}
}
Comments
23 pages, extensively revised version, figures are included