论文标题
固定收入投资组合优化：利率，信贷和有效的前沿
Fixed income portfolio optimisation: Interest rates, credit, and the efficient frontier
论文作者
论文摘要
自从马克维茨（Markowitz）1952年的原始工作以来，固定收益的关注远远低于股票投资组合优化，部分原因是需要建模利率和信用风险。我们认为，有效边界的形状主要由线性约束控制，标准偏差相对不重要，并为其时间演变提出了两因素模型。
Fixed income has received far less attention than equity portfolio optimisation since Markowitz' original work of 1952, partly as a result of the need to model rates and credit risk. We argue that the shape of the efficient frontier is mainly controlled by linear constraints, with the standard deviation relatively unimportant, and propose a two-factor model for its time evolution.
