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