RT Journal Article SR Electronic T1 An Empirical Analysis of the Benefits of Corporate Bond Portfolio Optimization in the Presence of Duration Constraints JF The Journal of Fixed Income FD Institutional Investor Journals SP jfi.2022.1.128 DO 10.3905/jfi.2022.1.128 A1 Romain Deguest A1 Lionel Martellini A1 Vincent Milhau YR 2022 UL https://pm-research.com/content/early/2022/01/08/jfi.2022.1.128.abstract AB This article analyzes the out-of-sample performance of portfolio optimization models in the US corporate bond universe. In our empirical study, we measure the benefits of naive diversification and find that it eventually reaches a limit as the number of bonds increases. Also, we observe substantial improvements in the risk-adjusted performance of scientific portfolio constructions when compared to simple barbell strategies for the same given duration. When duration constraints are relaxed, we find that both naively and scientifically diversified portfolios outperform cap-weighted benchmarks in terms of Sharpe ratio.