3
$\begingroup$
        +++++++ returns+++++++        === Coupon Return======///////  OAD  /////////
    Muni_return HY_return IG_return  Muni_coup HY_coup  IG_coup Muni_oad HY_oad IG_oad
11/30/07    1.11    -2.17   0.60    0.39    0.67    0.49    6.37    4.60    6.21  
12/31/07    0.28    0.29    0.16    0.38    0.70    0.49    6.39    4.55    6.23
01/31/08    2.03    -1.33   1.02    0.38    0.69    0.49    6.56    4.62    6.24
02/29/08    -4.15   -1.36   0.11    0.38    0.72    0.49    6.78    4.61    6.25
03/31/08    2.57    -0.34   -1.27   0.39    0.73    0.49    6.76    4.54    6.23
04/30/08    0.59    4.31    0.91    0.38    0.74    0.50    6.62    4.43    6.28
05/30/08    0.50    0.36    -0.95   0.38    0.71    0.50    6.52    4.39    6.20
06/30/08    -1.04   -2.80   -0.64   0.38    0.72    0.51    6.53    4.45    6.21
07/31/08    0.77    -1.33   -0.75   0.39    0.74    0.51    6.62    4.41    6.14
08/29/08    1.40    0.35    0.72    0.39    0.79    0.52    6.61    4.39    6.13

Hey guy I am stuck on a homework for one of my financial engineering classes. I apologize for the data formatting but I am trying to optimize by using Mean-Variance optimization of a portfolio of 3 assets of fixed income bond index securities (Muni, HighYield, InvestmentGrade). First Column is the date, the next 3 columns are the monthly percentage returns, the next three are the coupon rates at the point in time of Muni,HY,IG, respectively. The last three are the option adjusted duration at the point in time of the bond, all he same order.

I know how to do MVO optimization on any number of securities with returns. my problem are the coupons, how do I include the coupons into the MVO optimization?? These aren't stocks and I need to include the coupons in the optimization somehow. Anyone have any idea? Thank you!

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.