# Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization

arXiv: https://arxiv.org/abs/2212.02570 · HTML: https://mlsanity.com/paper/2212.02570/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 5 Dec 2022.

## Built on by (most cited first, 1 of 1)

- [A Framework for Finding Local Saddle Points in Two-Player Zero-Sum Black-Box Games](https://mlsanity.com/paper/2503.18224/) (2025)

## Abstract (arXiv)

The minimum (worst case) value of a long-only portfolio of bonds, over a convex set of yield curves and spreads, can be estimated by its sensitivities to the points on the yield curve. We show that sensitivity based estimates are conservative, ie, underestimate the worst case value, and that the exact worst case value can be found by solving a tractable convex optimization problem. We then show how to construct a long-only bond portfolio that includes the worst case value in its objective or as a constraint, using convex-concave saddle point optimization.