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On Bond Portfolio Management

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  • 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.

Suggested Citation

  • Vladislav Kargin, 2002. "On Bond Portfolio Management," Papers math/0208130, arXiv.org, revised Mar 2003.
    • Handle: RePEc:arx:papers:math/0208130
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    References listed on IDEAS

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