Optimum Bond Portfolio Selections

This paper is concerned with adapting Dr. Harry M. Markowitz's work on optimum portfolio selection of equity issues to portfolio selection of debt issues for achieving optimum maturity distribution. In establishing the optimum, investor's “tactics” take place of individual securities in Markowitz's analysis. An investor can choose from sets of efficient tactics either to minimize the variance of portfolio return or to maximize expected portfolio return. The model requires similar computational methods advanced by Markowitz himself and by others. It presents an exploration of techniques needed to optimize bond portfolio of financial firms in a way which will allow funds to be re-invested at minimum opportunity loss.

• 저널Management Science · 8(4) · 490–499
• 토픽Financial Markets and Investment Strategies · Finance
• DOI10.1287/mnsc.8.4.490
• 저자Pao Lun Cheng