New Paper on Bond Portfolio Dynamics

By Sealy j – Own work, CC BY-SA 4.0, https://commons.wikimedia.org/w/index.php?curid=62209528

 

Mattia Landoni (SMU Cox School of Business) and I recently completed a paper on bond portfolio dynamics (now under review at an academic journal). We offer a new theory on the evolution of the maturity structures for rolling bond portfolios inspired by population mathematics, with new tools for evaluating and optimizing government borrowing strategies.  The working paper is available at SSRN (free registration required), or you can contact either of us and we will gladly send you a copy.

This entry was posted in Bonds, Economics, Math, Optimization and tagged , , , . Bookmark the permalink.

2 Responses to New Paper on Bond Portfolio Dynamics

  1. Pingback: Bond Talk on May 23 | The Well-Tempered Spreadsheet

  2. Pingback: September in Paris | The Well-Tempered Spreadsheet

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out /  Change )

Google photo

You are commenting using your Google account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s

This site uses Akismet to reduce spam. Learn how your comment data is processed.