[BOOK][B] Quantitative Global Bond Portfolio Management

GS Konstantinov, FJ Fabozzi, JS Simonian - 2024 - World Scientific
Portfolio management involves the management of client funds. Clients can be institutional
investors such as pension funds, sovereign or sub-government entities, or individual clients …

Fixed income portfolio optimisation: Interest rates, credit, and the efficient frontier

RJ Martin - arXiv preprint arXiv:2004.02312, 2020 - arxiv.org
Fixed income has received far less attention than equity portfolio optimisation since
Markowitz'original work of 1952, partly as a result of the need to model rates and credit risk …

An Empirical Analysis of the Benefits of Corporate Bond Portfolio Optimization in the Presence of Duration Constraints

R Deguest, L Martellini, V Milhau - The Journal of Fixed Income, 2022 - pm-research.com
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 …

Asian Emerging Market Government Bond Portfolio Optimization Using Mean-Variance Analysis in the Presence of Duration Constraint

F Widyatantri, ZA Husodo - The International Conference on …, 2020 - atlantis-press.com
This study applies Markowitz's mean-variance optimization method (1952) by setting
duration constraint for an investment portfolio consisting of Asian emerging market local …

[PDF][PDF] Factor Investing in Government Bond Markets-Part I-Time-Series Perspective

JM Maeso, L Martellini, R Rebonato - 2018 - researchgate.net
This paper is the first in a series of two papers that provide a detailed analysis of the
theoretical, empirical and practical challenges related to factor investing in sovereign bond …

이표채 평균-분산 최적화 모형과 KTB 국고채 포트폴리오

이상헌, 최건호, 기호삼 - 자산운용연구, 2021 - dbpia.co.kr
본 연구의 목적은 무이표채 포트폴리오 최적화 모형을 이표채 포트폴리오 모형으로 확장한 후
목표 듀레이션제약 하에서 KTB 국고채의 효율적 포트폴리오를 구축하는 것이다. 실제 발행 및 …

Dynamic Nelson-Siegel 모형을 이용한 국고채 최적 투자 포트폴리오

이상헌, 김명직 - 자산운용연구, 2019 - scholarworks.bwise.kr
본 연구는 Dynamic Nelson-Siegel (DNS) 모형 및 그 확장 모형을 사용하여 채권의
기대투자수익률과 공분산을 도출하고 평균-분산 최적화 문제를 풀어 포트폴리오의 만기별 …