---
title: Bond Portfolio Optimization at Life Insurance Companies: Duration Spread Ratio Optimization vs. Mean-Variance Optimization
url: https://www.ml-quant.com/papers/ssrn/4825814/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4825814
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4825814
featured: 2024-05-15
citations: 1
topic: Portfolio & Allocation
---


# Bond Portfolio Optimization at Life Insurance Companies: Duration Spread Ratio Optimization vs. Mean-Variance Optimization

The research compares the effects of integrating credit risk and interest rate risk in bond portfolio optimization with traditional risk measures, introducing a new approach called Duration Spread Ratio (DSR) optimization that outperforms in all scenarios.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4825814
- Identifier: SSRN 4825814
- Released: 2024-04-14
- First featured: Quant Letter No. 49 (2024-05-15): https://www.ml-quant.com/issues/2024-05-15/
- Citations (Semantic Scholar): 1
- Published in: not yet
- Topic: Portfolio & Allocation

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