The Structure of Structured Bond Portfolio Models
Published Online:1 Feb 1992https://doi.org/10.1287/opre.40.1.S157
Abstract
Over the past decade, optimization models have been widely used to help select bond portfolios. Several different formulations are popular. The purposes of this paper are to clarify the basic structures of the models, to explain the relationships among them, and to assess their strengths and weaknesses.
