The Structure of Structured Bond Portfolio Models

Journal Article

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.

Full Text

Duke Authors

Cited Authors

  • Zipkin, P

Published Date

  • February 1, 1992

Published In

Volume / Issue

  • 40 / 1-supplement-1

Start / End Page

  • S157 - S169

Published By

Electronic International Standard Serial Number (EISSN)

  • 1526-5463

International Standard Serial Number (ISSN)

  • 0030-364X

Digital Object Identifier (DOI)

  • 10.1287/opre.40.1.s157


  • en