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Studies on a general stock-bond integrated portfolio optimization model
Authors:Koji Kato  Hiroshi Konno
Institution:(1) Department of Industrial and Systems Engineering, Chuo University, Tokyo, Japan
Abstract:The purpose of this paper is to extend a stock-bond integrated portfolio optimization model proposed by one of the authors in 1997 to the case where the universe covers risky (corporate) bonds in addition to stocks and risk-free (government) bonds. An integrated approach has been applied to Japanese market and was proved to generate a portfolio which usually outperforms standard asset allocation strategy. Inclusion of risky bonds is expected to lead to an even better portfolio. To properly handle risky bonds, we introduce a new scheme to quantify the risk associated risky bonds. We will demonstrate that the scheme proposed in this paper works very well, at least in the Japanese market.
Keywords:Integrated portfolio optimization  Risky bonds  Mean-absolute deviation model  Asset allocation
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