Optimum Bond Portfolio Selections

Pao Lun Cheng
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Pao Lun Cheng: The University of Massachusetts, Amherst, Massachusetts

Management Science, 1962, vol. 8, issue 4, 490-499

Abstract: This paper is concerned with adapting Dr. Harry M. Markowitz's work on optimum portfolio selection of equity issues to portfolio selection of debt issues for achieving optimum maturity distribution. In establishing the optimum, investor's "tactics" take place of individual securities in Markowitz's analysis. An investor can choose from sets of efficient tactics either to minimize the variance of portfolio return or to maximize expected portfolio return. The model requires similar computational methods advanced by Markowitz himself and by others. It presents an exploration of techniques needed to optimize bond portfolio of financial firms in a way which will allow funds to be re-invested at minimum opportunity loss.

Date: 1962
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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:8:y:1962:i:4:p:490-499

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