Portfolio Management for a Random Field of Bond Returns
AbstractA new method of bond portfolio optimization is described. The method is based on stochastic string models of bond returns. It is shown how to approximate the bond return correlation function with Padé approximations and how to compute the optimal portfolio allocation using Wiener-Hopf factorization. The technique is illustrated with an example of the Treasury bond portfolio.
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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0310007.
Length: 13 pages
Date of creation: 07 Oct 2003
Date of revision:
Note: Type of Document - PDF; prepared on IBM PC ; pages: 13 ; figures: included
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bond portfolio management; stochastic string; Toeplitz operators; Padé approximations; Wiener-Hopf factorization.;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-10-12 (All new papers)
- NEP-CFN-2003-10-12 (Corporate Finance)
- NEP-FIN-2003-10-12 (Finance)
- NEP-FMK-2003-10-12 (Financial Markets)
- NEP-RMG-2003-10-12 (Risk Management)
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