While portfolio optimisation is commonplace in equities, it is more complex in the fixed-income space, partly because of trading lot sizes. Implementing the portfolio composition by converting weights into holdings is easy for equities due to small lot sizes. If we consider bonds, the difference between the model and the resulting portfolio may be significant, especially when the notional amount at stake is not large. In previous research, we have approched bond-index tracking by using genetic algorithms.
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