While portfolio optimization is well known in the Equity space, in the Fixed Income industry, the subject is less discussed although it has very specific needs and it can be more complex compared to its Equity counterparts. One key difference between the two of them is the trading lot size.
Rebalancing portfolios is an important event in the life of the portfolio manager, as transaction fees have non negligible impact on performance. We will focus on mitigating portfolio turnover via Tracking-error minimization under a QP framework.
Studying market structure through the use of correlation matrices is well spread. Here we will share a methodology to enhance visual clustering analysis, the Minimum Spanning Tree.
