Hi, I have a Corporate Bond Portfolio with which I'm currently trying to figure out how to reach an optimal allocation between different sectors. So what % of the portfolio should be financial, Industrial or Utility holdings (assume only 3 sectors to play with). If I use a benchmark to compare with the trivial solution would be to have the same allocation as the benchmark. But the boss doesn't like benchmarks and managing to indices. We're a buy to hold shop. Any ideas? I was thinking of using historical returns from the indice, and calculating an efficient frontier from there. And using that as a starting step. But what then? Also are there any papers to help with this. On things like coding the problem.

QuoteOriginally posted by: virus. But the boss doesn't like benchmarks.That made me laugh. Does that mean that your clients won't really care what the results are?If so, this greatly simplifies your task Sorry, can't resist, but it reminded me of this Dilbert: