robust_bond_portfolio

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robust_bond_portfolio

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Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization

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# Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization
[![Linters](https://github.com/cvxgrp/robust_bond_portfolio/actions/workflows/linter.yml/badge.svg)](https://github.com/cvxgrp/robust_bond_portfolio/actions/workflows/linter.yml)

This repo accompanies our [paper](https://arxiv.org/abs/2212.02570) and provides code and data to replicate all results.

## Getting started
Clone the repo and run
```bash
pip install -e .
```
from the root folder.

## Running the code
To recreate the examples, simply run
```bash
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:

```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}
}
```

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