Toeplitz Operators and Bond Portfolio Management
نویسنده
چکیده
This paper applies techniques from the theory of Toeplitz operators to active management of bond portfolios. It shows how to compute the optimal portfolio allocation using Winer-Hopf factorization and how to check whether a collection of bonds presents arbitrage opportunities. The theory is applied to an empirical example.
منابع مشابه
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تاریخ انتشار 2008