Bond Portfolio Optimization Model: PBOND
In certain situations, a business or individual may be faced with financial obligations over a future number of periods. In order to defease (i.e., eliminate) this future debt, the debtor can determine a minimal cost mix of current assets (e.g., cash and bonds) that can be used to cover the future stream of payments. This problem is sometimes referred to as the cash flow matching problem or the debt defeasance problem.