# Questions tagged [bond-portfolio]

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I have a question regarding immunization portfolios that are continuously compounded. Suppose we have the following three bonds: Bond 1: one year zero coupon with principal of $100 Bond 2: two year ... 1answer 149 views ### Duration of portfolio equals to zero I am solving the following problem: Consider a 2000 dollars bond with maturity of 5 years and a half-year coupon of 25 dollars at a nominal interest rate of 8% p.a and a consolidation bond (... 1answer 118 views ### Applying Interest Rate Shock to Equities, FX, etc I am looking for resources on practical applications of non-parallel Interest Rate shock for a portfolio that contains different types of investments. Specifically: how to identify the tenors and how ... 2answers 470 views ### Fixed Income Portfolio Optimization I'm trying to solve for a maximum sharpe ratio portfolio in the fixed income space. To do so, i use CVXPY in python. I use this Paper as reference. This is my "setup": ... 2answers 1k views ### Random Portfolios vs Efficient Frontier I understand the concept of the efficient frontier and am able to calculate it in Python. But even when generating 50'000 random 10 asset portfolios, the single portfolios are not even close to the ... 0answers 281 views ### Maximum Sharpe Ratio Portfolio Conceptually, what are the drawbacks / unforeseen risks of running a portfolio whose weight are derived from what would have maximised the sharpe ratio over the previous time period (last 30 days) ? 2answers 956 views ### Bond fund's roll and carry This is a question about modelling the returns of a bond index. Understand there's quite a bit about the roll and carry of an individual bond, but what about a bond index. Roll I would calculate the ... 1answer 117 views ### Portfolio duration What is the correct way to calculate duration of a fixed income portfolio with long and short bond positions? And how to calculate portfolio YTM with long and short positions. For long only (or short ... 1answer 110 views ### Portfolio optimization: how to take care of single name corporate bonds? I'm trying to backtest some strategies which include 3-5 years single name EM corporate bonds. Some of them don't even have a meaningful historical data. Some others are pretty illiquid. Other than ... 1answer 4k views ### Why does a barbell portfolio have higher convexity than a bullet porfolio I cannot quite understood absolutely why a barbell portfolio has higher convexity than a bullet porfolio. I can easily understand how the parallel line represents duration but I cannot see what the ... 1answer 131 views ### Calculating IR sensitivity I'm trying to figure out how to find IR sensitivity of a bond whose time to maturity of a bond is 2 years. Bond pays 10.875 percent coupons yearly. Duration is 1.8 years. How do you find the ... 2answers 738 views ### Why Is Bond Time Value Risk Not Considered in Bond Immunization? I know bond portfolio immunization includes duration and (if the hedging period is longer) convexity matching. These are equivalent to taking the first and second partial derivatives of the bond ... 0answers 103 views ### Construction of bond portfolio represented by a CDS-Index Markit publishes investable basket CDS indices. These are indices intended to track the credit risk of a basket of issuers (e.g. in the case of iTraxx Europe Series 24 these are 125 names) in an ... 1answer 34 views ### convention in borrowing money in a multiperiod model I have a question concerning the idea of consumption in multi period. The following is given $$C_1=W_0-xS_1+B$$ $$C_2=xS_2-BR$$ where$W_0$is initial wealth$x\$ is the weight on an asset with ...
We use historical simulation for risk analysis. I.e. for each bond there is a repricing of the form $$P_j = PV(\text{yield curve in scenario } j),$$ where the yield curve is the zero rates curve of ...