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.

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Year of publication:	2003-10-07
Authors:	Kargin, Vladislav
Institutions:	EconWPA
Subject:	bond portfolio management \| stochastic string \| Toeplitz operators \| Padé approximations \| Wiener-Hopf factorization

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Extent:	application/pdf
Series:	Finance.
Type of publication:	Book / Working Paper
Notes:	Type of Document - PDF; prepared on IBM PC ; pages: 13 ; figures: included 13 pages
Classification:	G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005413122