In this paper, we apply Markowitz's approach of portfolio selection to government bond portfolios. As a main feature of … promising predicted risk-return profiles. If the number of risky bonds in the portfolio is not too large and the term structure … model does not contain more than two factors, these predictions are confirmed by the realized risk-return profiles. …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they …

risk factors. Risk factor correlation increases when investor sentiment worsens. This suggests that corporate bond … investors change their perception of risk factors, which results in higher risk factor correlation and finally higher bond … is most needed. We examine bond correlation using a broad sample of US corporate bonds. We find bond correlation to be …

We present a theory in which limited risk sharing of idiosyncratic labor income risk plays a key role in determining … the dynamics of interest rates. Our production-based model relates the crosssectional distribution of labor income risk to … observable aggregate labor market variables. Our model makes two key predictions. First, it predicts positive risk premia for …