Fang, Zhenmin; Ho, Richard Yan-Ki - In: Applied Economics Letters 2 (1995) 2, pp. 27-30
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...