An empirical analysis of the benefits of corporate bond portfolio optimization in the presence of duration constraints
Year of publication: |
2022
|
---|---|
Authors: | Deguest, Romain ; Martellini, Lionel ; Milhau, Vincent |
Published in: |
The journal of fixed income : JFI. - London : IPR Journals, ISSN 2168-8648, ZDB-ID 2048685-6. - Vol. 31.2022, 4, p. 50-82
|
Subject: | Portfolio-Management | Portfolio selection | Unternehmensanleihe | Corporate bond |
-
Aktives Management von Corporate-Bond-Portfolios und Kreditrisiken
Hagenstein, Frank, (2006)
-
Risikomanagement für Corporate Bonds : Modellierung von Spreadrisiken im Investment-Grade-Bereich
Wingenroth, Thorsten, (2004)
-
A joint factor model for bonds, stocks, and options
Bali, Turan G., (2023)
- More ...
-
Bond portfolio optimization in the presence of duration constraints
Deguest, Romain, (2018)
-
A reinterpretation of the optimal demand for risky assets in fund separation theorems
Deguest, Romain, (2018)
-
Asset-liability management in private wealth management
Amenc, Noël, (2009)
- More ...