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Article

Bond Portfolio Optimization in the Presence of Duration Constraints

Romain Deguest, Frank Fabozzi, Lionel Martellini and Vincent Milhau
The Journal of Fixed Income Summer 2018, 28 (1) 6-26; DOI: https://doi.org/10.3905/jfi.2018.1.061
Romain Deguest
is head of research and co-founder of Fundvisory in Paris, France. rdeguest@yahoo.fr
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Frank Fabozzi
is a professor of finance at EDHEC Business School in Nice, France. frank.fabozzi@edhec-risk.com
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Lionel Martellini
is professor of finance at the EDHEC Business School and the Director of EDHEC-Risk Institute in Nice, France. lionel.martellini@edhec.edu
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Vincent Milhau
is research director at EDHEC-Risk Institute in Nice, France. vincent.milhau@edhec.edu
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Article Information

vol. 28 no. 1 6-26
DOI 
https://doi.org/10.3905/jfi.2018.1.061

Published By 
Pageant Media Ltd
Print ISSN 
1059-8596
Online ISSN 
2168-8648
History 
  • Published online July 2, 2018.

Article Versions

  • Latest version (June 11, 2018 - 04:50).
  • You are viewing the most recent version of this article.
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© 2018 Pageant Media Ltd

Author Information

  1. Romain Deguest
    1. is head of research and co-founder of Fundvisory in Paris, France. (rdeguest{at}yahoo.fr)
  2. Frank Fabozzi
    1. is a professor of finance at EDHEC Business School in Nice, France. (frank.fabozzi{at}edhec-risk.com)
  3. Lionel Martellini
    1. is professor of finance at the EDHEC Business School and the Director of EDHEC-Risk Institute in Nice, France. (lionel.martellini{at}edhec.edu)
  4. Vincent Milhau
    1. is research director at EDHEC-Risk Institute in Nice, France. (vincent.milhau{at}edhec.edu)
  1. To order reprints of this article, please contact David Rowe at drowe{at}iijournals.com or 212-224-3045.
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The Journal of Fixed Income: 28 (1)
The Journal of Fixed Income
Vol. 28, Issue 1
Summer 2018
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Bond Portfolio Optimization in the Presence of Duration Constraints
Romain Deguest, Frank Fabozzi, Lionel Martellini, Vincent Milhau
The Journal of Fixed Income Jun 2018, 28 (1) 6-26; DOI: 10.3905/jfi.2018.1.061

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Bond Portfolio Optimization in the Presence of Duration Constraints
Romain Deguest, Frank Fabozzi, Lionel Martellini, Vincent Milhau
The Journal of Fixed Income Jun 2018, 28 (1) 6-26; DOI: 10.3905/jfi.2018.1.061
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  • Article
    • Abstract
    • BOND PORTFOLIO OPTIMIZATION
    • CONSISTENT RISK PARAMETER ESTIMATORS FOR BOND PORTFOLIOS
    • EMPIRICAL ANALYSIS
    • CONCLUSION
    • APPENDIX
    • ENDNOTES
    • REFERENCES
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  • Fixed Income Value Factor
  • Editor’s Letter
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