Hedging bond portfolios versus infinitely many ranked factors of risk
The paper considers bond portfolios affected by both interest-rate- and default-risk. In order to guarantee a correct performance of our analysis we will hedge against an infinite number of factors. Hence we do not have to impose and do not depend on any assumption concerning the dynamic behavior of the term structure of interest rates. On the other hand, since a complete hedging is not feasible unless some ideal situations hold, we rank the factors according to the empirical evidence. Thus, we make the most important risks vanish and we minimize the effect of those kinds of risk less usual in practice.
Year of publication: |
2004-08
|
---|---|
Authors: | Balbas, Alejandro ; Montagut, Esperanza H. ; Fructuoso, Maria Jose Perez |
Institutions: | Departamento de EconomÃa de la Empresa, Universidad Carlos III de Madrid |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Optimal risk in marketing resource allocation
Balbas, Alejandro, (2009)
-
Infinitely many securities and the fundamental theorem of asset pricing
Balbas, Alejandro, (2004)
-
ON THE FUTURE CONTRACT QUALITY OPTION: A NEW LOOK
balbas, Alejandro, (2006)
- More ...