bond markets. A robust agent who worries about misspecified bond premia follows a min-max expected shortfall criterion to … optimization problem. We find that both naive and robust optimal portfolios depend on the hedging horizon and current funding ratio …

bond markets. A robust agent who worries about misspecified bond premia follows a min-max expected shortfall criterion to … optimization problem. We find that both naive and robust optimal portfolios depend on the hedging horizon and current funding ratio …

interest rate risk management. This article presents empirical test of duration and convexity of Zero-Coupon Bonds( ZCBs )at … related indirectly and insignificantly to the immunization risk inherent in a bond portfolio. The main goal of this study is …