Article
BOND PORTFOLIO OPTIMIZATION : A RISK - RETURN APPROACH
This article has proposed to use term structure model for optimization of bond portfolios. By choosing a particular term structure model, that is, selecting the number of factors and the complexity of their dynamics, one can impose reasonable restrictions on the bond price dynamics. Because term structure model do consistently price bonds with different maturities, they are particularly suitedfor portfolio considerations.
Subjects
Details
-
FromThe Journal of Fixed Income, Mar. 2006, pp. 48-60