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This paper develops a framework for managing portfolios of fixed income instruments based on traditional principles from the equities market, i.e., based on diversification. It shows, through an analysis of the high-yield bond market over the period 1987 to 1991, that fixed-income prices could...

The problem of optimally (re)allocating Navy personnel to combat units is compounded by several considerations: availability of trained personnel, staffing of positions by occupation groups or ranks, and maintaining an acceptable level of readiness. In this paper we model this problem as a...

The estimation of prepayment rates for pools of mortgages is a critical component in determining the value of mortgage-backed securities---MBS for short---and derivative products. This paper discusses the development of prepayment models for pools of fixed-rate mortgages. The models are...