related indirectly and insignificantly to the immunization risk inherent in a bond portfolio. The main goal of this study is …

be compensated, if markets are efficient. We call this the "bond agio premium" and use constituent-level bond index data … for January 1997 through December 2022 to show that - holding issuer and maturity fixed - it is reflected by bond prices …

been performed in our recent working paper [5],"Enhancement of the Fisher-Weil bond technique immunization". So it is seen … curve ; Bond portfolio ; immunization ; optimization ; linearization …

there is no clear common sense for that. Our main purpose in this paper is to present how the classical Fisher-Weil bond … change approximation and the associated bond hedging technique can be enhanced, such that we are able to solve simultaneously … these two issues. The good approximation of the bond or portfolio change we derive, allows to get an interesting consequence …

Bond skewness and coskewness (i.e., bond return comovement with market volatility) are both time varying, with cross … coskewness with respect to the bond market index; lower quality bonds have lower skewness, and higher coskewness with respect to … the bond market index. Three-moment bond alphas (which account for coskewness effects) are time varying and predictable by …

The traditional approach to bond portfolio immunization usually assumes that the possible future changes of the term … different bond portfolio immunization models—from the classical duration to key rate and parametric duration hedging. We propose …

counterparties and,consistent with the margin-CAPM, more pronounced for stocks with higher margins. Our results suggest that …