Portfolio Management for a Random Field of Bond Returns
A 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.
|Date of creation:||07 Oct 2003|
|Date of revision:|
|Note:||Type of Document - PDF; prepared on IBM PC ; pages: 13 ; figures: included|
|Contact details of provider:|| Web page: http://econwpa.repec.org|
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