On Bond Portfolio Management
最优化与控制
2025-10-20 v2 数值分析
数值分析
投资组合管理
摘要
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.
引用
@article{arxiv.math/0208130,
title = {On Bond Portfolio Management},
author = {Vladislav Kargin},
journal= {arXiv preprint arXiv:math/0208130},
year = {2025}
}
备注
23 pages, extensively revised version, figures are included