Concepedia

Bond Portfolio Optimization

Bond Portfolio Optimization is a quantitative investment framework that systematically selects and weights fixed-income securities within a portfolio to maximize expected returns or minimize risk, subject to specified constraints, thereby distinguishing it from broader asset allocation strategies by its focus on the unique interest rate sensitivity, credit risk, and cash flow characteristics inherent to bonds.

47

Publications

2.3K

Citations

79

Authors

61

Institutions

Publications per year

2017–2026

4

Parents

Publications

47

The Demand for Index Bonds

Stanley Fischer · Journal of Political Economy · 1975 · 293 citations · Full text

, , +13

A Dynamic Model for Bond Portfolio Management

Stephen P. Bradley, Dwight B. Crane · Management Science · 1972 · 183 citations

, , +16

Stochastic Interest Rates and the Bond-Stock Mix

Michael J. Brennan, Yihong Xia · European Finance Review · 2000 · 161 citations · Full text

, , +17

BOND PORTFOLIO OPTIMIZATION BY BILINEAR FRACTIONAL PROGRAMMING

Hiroshi Konno, Michimori Inori · Journal of the Operations Research Society of Japan · 1989 · 111 citations · Full text

, , +12

A Minimum Variance Result in Continuous Trading Portfolio Optimization

Henry R. Richardson · Management Science · 1989 · 101 citations

, , +14

1–5 of 47

Authors

79

  1. DB
    Dwight B. Crane

    Harvard University, United States

    3 publications · 239 citations

    3

    h-index

  2. HK
    Hiroshi Konno

    Tokyo Institute of Technology, Japan

    3 publications · 231 citations

    3

    h-index

  3. PW
    Peter Winker

    Justus-Liebig-Universität Gießen, Germany

    2 publications · 111 citations

    2

    h-index

  4. FM
    Francesco Menoncin

    University of Brescia, Italy

    2 publications · 99 citations

    2

    h-index

  5. AT
    Andrea Tamoni

    Rutgers, The State University of New Jersey, United States

    2 publications · 46 citations

    2

    h-index

1–5 of 79

Institutions

61

  1. University of California, Los Angeles

    Los Angeles, United States

    3 h-index

    4 publications

    260 citations

  2. University of Cyprus

    Nicosia, Cyprus

    2 h-index

    4 publications

    152 citations

  3. University of Cambridge

    Cambridge, United Kingdom

    2 h-index

    2 publications

    84 citations

  4. University of Brescia

    Brescia, Italy

    2 h-index

    2 publications

    99 citations

  5. Tokyo Institute of Technology

    Tokyo, Japan

    2 h-index

    3 publications

    181 citations

  6. Hoover Institution

    Stanford, United States

    1 h-index

    1 publications

    15 citations

  7. Koblenz University of Applied Sciences

    Koblenz, Germany

    1 h-index

    2 publications

    40 citations

  8. Goldman Sachs (United States)

    New York, United States

    1 h-index

    1 publications

    12 citations

1–8 of 61

Venues

  1. Management Science

    5 publications · 359 citations

    5

    h-index

  2. SSRN Electronic Journal

    Repository · 5 publications · 175 citations

    5

    h-index

  3. The Journal of Portfolio Management

    JPM · 3 publications · 65 citations

    3

    h-index

  4. 2

    h-index

  5. The Journal of Risk

    2 publications · 30 citations

    2

    h-index

1–5