Asset reallocation with interest rate swaps
A bond portfolio model with interest rate swaps is developed to carry out the mean-variance analysis. It is found that interest rate swaps can be used to reallocate non-marketable bonds in the portfolio by swapping out the non-traded fixed-rate bonds into LIBOR-based floating rate notes. The optimal allocation of bond portfolios can be achieved from the implicit reallocation of non-marketable bonds in the portfolios.
Year of publication: |
1995
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Authors: | Fang, Zhenmin ; Ho, Richard Yan-Ki |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 2.1995, 2, p. 27-30
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Publisher: |
Taylor & Francis Journals |
Saved in:
freely available
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