Portfolio Management for a Random Field of Bond Returns

Vladislav Kargin ()

Finance from University Library of Munich, Germany

Abstract: 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.

Keywords: bond portfolio management; stochastic string; Toeplitz operators; Padé approximations; Wiener-Hopf factorization. (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2003-10-07
New Economics Papers: this item is included in nep-cfn, nep-fin, nep-fmk and nep-rmg
Note: Type of Document - PDF; prepared on IBM PC ; pages: 13 ; figures: included
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0310007

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