On Bond Portfolio Management
AbstractThis 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number math/0208130.
Date of creation: Aug 2002
Date of revision: Mar 2003
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