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The effect of convertible bonds on bond portfolio optimization

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DOI: 10.25236/ieesasm.2023.036


Diao Shengji

Corresponding Author

Diao Shengji


The convertible bond has become an important tool in financial market and enjoyed significant growth in China's capital markets since the Chinese government decided to select conditional companies for the pilot of convertible bonds in 1996. The convertible bond itself is attractive to both issuers and investors because of its unique dual properties of bonds and stocks. Firstly, I analysis the dataset I downloaded from WIND system, and then take the correlation relationship as my target to test the data is meaningful or not, finally, set up some porfolios and then compare the results of them. Sine the existence of the convertible bond could limit the risk and return to a certain range, I cannot help wording whether convertible bond could do a favor to the return of a portfolio consisting of other securities on the financial market. In other words, if it is positive to the efficient frontier of a portfolio.


convertible bond, Chinese financial market, portfolio choice, mean-variance efficient frontier