Bond portfolio optimization
Keywords:
Government bonds. Portfolios. Forecast.Abstract
In this paper we optimize portfolios containing Brazilian government bonds. We use factor models to fit and forecast the yield curve. Additionally, we explore the factor structure of the yield curve to parsimoniously model and forecast the conditional covariance matrix of the yields. These forecasts are then used as inputs to obtain mean-variance and minimum variance optimal bond portfolios. An empirical examination involving a novel data set of Brazilian government bonds with different maturities indicates that the optimized bond portfolios deliver an improved risk-adjusted performance in comparison to the benchmark.Downloads
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How to Cite
Caldeira, J. F., Moura, G. V., & Santos, A. A. P. (2013). Bond portfolio optimization. Advances in Scientific and Applied Accounting, 5(3), 349–376. Retrieved from https://asaa.emnuvens.com.br/asaa/article/view/109
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