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Fixed-income portfolio management in crisis period : expected tail loss (ETL) approach

Mili, Mehdi - 2012

The purpose of this study is to develop an efficient strategy for managing fixed-income portfolios in crisis periods. We use the volatility ratio model of Briere and Szafarz (2008) and the Expected Tail Loss (ETL) approach of Litzenberger and Modest (2008). Our methodology is applied to U.S. and...

Persistent link: https://www.econbiz.de/10009564251

Stock Market Integration and International Portfolio Diversification between U.S. and ASEAN Equity Markets

Ardliansyah, Rifqi - 2014

The paper empirically analyzes stock market integration and the benefit possibilities of international portfolio diversification across the Southeast Asia (ASEAN) and U.S. equity markets. It employs daily sample of 6 ASEAN equity market indices and S&P 500 index as a proxy of U.S. market index...

Persistent link: https://www.econbiz.de/10013065264

Home country interest rates and international investment in U.S. bonds

Ammer, John; Claessens, Stijn; Tabova, Alexandra; … - 2018

We analyze how interest rates affect cross-border portfolio investments. Data on U.S. bond holdings by foreign …

Persistent link: https://www.econbiz.de/10011917242

Searching for yield abroad : risk-taking through foreign investment in U.S. bonds

Ammer, John; Claessens, Stijn; Tabova, Alexandra; … - 2018

The risk-taking effects of low interest rates, now prevailing in many advanced countries, "search-for-yield," can be hard to analyze due to both a paucity of data and challenges in identification. Unique, security-level data on portfolio investment into the United States allow us to overcome...

Persistent link: https://www.econbiz.de/10011854698

Investing in US Core Fixed Income with Macro and Style Factors

Pauksta, Eugene; Kaul, Karishma; Parker, Tom; Radell, Scott - 2021

We harvest factors—broad and persistent sources of returns—in US core fixed income in three ways. First, we take strategic over and underweight positions in certain macro factors. While strategic overweights to rates, or duration, and credit factors have historically resulted in...

Persistent link: https://www.econbiz.de/10013323791

The Replacement of Safe Assets : Evidence from the U.S. Bond Portfolio

Bertaut, Carol C. - 2015

debt securities. We also find a strong negative correlation between the foreign share of the U.S. financial bond portfolio … notably Australia and Canada). Lastly, these developments have led to a decline in home bias in the U.S. financial bond …

Persistent link: https://www.econbiz.de/10013027545

How Skilful are US Fixed-Income Fund Managers?

Clare, Andrew D.; Cuthbertson, Keith; Nitzsche, Dirk; … - 2021

number of bond funds with: both positive gross-of-fee alpha and positive net-of-fee alpha performance; and also a reduction … in funds with negative-alpha performance. This result indicates that many US bond fund managers anticipated the … Quantitative Easing that followed the GFC, positioned their bond funds against their benchmarks accordingly and added value to …

Persistent link: https://www.econbiz.de/10014087042

Optimal asset allocation under quadratic loss aversion

Fortin, Ines; Hlouskova, Jaroslava - 2012

Persistent link: https://www.econbiz.de/10009656098

Optimal asset allocation under linear loss aversion

Fortin, Ines; Hlouskova, Jaroslava - 2010

Persistent link: https://www.econbiz.de/10008669593

Optimal asset allocation under linear loss aversion

Fortin, Ines; Hlouskova, Jaroslava - 2010

Growing experimental evidence suggests that loss aversion plays an important role in asset allocation decisions. We study the asset allocation of a linear loss-averse (LA) investor and compare the optimal LA portfolio to the more traditional optimal mean-variance (MV) and conditional...

Persistent link: https://www.econbiz.de/10009732564