cvxgrp / robust_bond_portfolio

Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization

Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization

This repo accompanies our paper and provides code and data to replicate all results.

Getting started

Clone the repo and run

pip install -e .

from the root folder.

Running the code

To recreate the examples, simply run

python run_examples.py

which will show all figures and print the numerical results to the terminal.

Note The examples require the Mosek solver (academic licenses are available).

Code snippets

All code snippets presented in the paper are maintained as test cases is tests/test_snippets.py and can be copied from there.

Citing

If you want to reference our paper in your research, please consider citing us by using the following BibTeX:

@article{luxenberg2024robustbond,
  title = {Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization},
  author = {Luxenberg, Eric and Schiele, Philipp and Boyd, Stephen},
  journal = {Journal of Optimization Theory and Applications},
  pages = {1--27},
  year = {2024},
  doi = {https://doi.org/10.1007/s10957-024-02436-z},
  publisher = {Springer},
  pdf = {https://web.stanford.edu/\%7Eboyd/papers/pdf/robust_bond_portfolio.pdf}
}