Development of the methodology of management a bond portfolio an is essential task of the portfolio managers of pension funds, bond funds, banks, and investment companies. There are plenty of methods and mathematical models of bond portfolio management. The most famous techniques of bond portfolio management include the immunization of bond portfolio, management of duration, and curvature of a bond portfolio. However, the existing models and tools of bond rating do not take into account the risk of bond issuer insolvency, which makes them suitable only for the rating of high-quality state bonds. The article presents the economic-mathematical model for forming a bond portfolio with the optimal risk level and profitability. The calculations of this model take into account the probability of default component in bonds rating. The suggested economic-mathematical model of optimizing a bond portfolio enables the graphic depiction of the efficient frontier of optimal bond portfolios with the consideration of the susceptibility of portfolio components to credit risk, thus improving the quality of investment decisions made by portfolio managers.