Ram Maheshwari Logo Image
Bharath Kumar

Bond Portfolio Optimization

Constructed cost-effective municipal bond portfolios using linear programming and immunization strategies to manage fixed-income risks, aligning with liability streams in present value, duration, and convexity.

Project Image

Project Overview

Developed an optimized bond portfolio bond portfolio for municipal liabilities using linear programming and immunization strategies to manage fixed-income investment risks.

The project focused on constructing cost-effective, risk-free bond portfolios, balancing cash matching and immunization to match liability streams in terms of present value, duration, and convexity.

Topics Covered

Present value
Convexity
Immunized
Asset
Coupon Rate
Maturity Date
Face Value
Cash flow
Liability