A numerical technique based on the embedding technique proposed in [21, 33] for dynamic mean-variance (MV) optimization problems may yield spurious points, i.e. points which are not on the efficient frontier. In [27], it is shown that spurious points can be eliminated by examining the left upper...

If the firm chooses the stock of capital, labor, cash (distributions) so as to maximize its expected discounted present value, its investment policy should adjust endogenously to changes in investor preferences. It is hypothesized that quantitative easing (QE) affects asset prices through a...

Using market prices of inflation-linked bonds and nominal bonds issued by the French Treasury, both the real and nominal zero coupon curves are estimated from January 1, 2013 to December 31, 2015. Several methods are applied to extract zero coupon bond prices: bootstrapping, a piecewise constant...

We investigate daily flows to Israeli mutual funds, which are held primarily by retail investors. We find that daily net flows are contemporaneously correlated with price changes of all government bond categories (nominal/CPI-linked; short-term, intermediate-term, and long-term maturity). These...

We generalize the idea of semi-self-financing strategies, originally discussed in Ehrbar, Journal of Economic Theory (1990), and later formalized in em Cui et al, Mathematical Finance 22 (2012), for the pre-commitment mean-variance (MV) optimal portfolio allocation problem. The proposed...

I show that investor confidence (size of ambiguity) about future consumption growth is driven by past consumption growth and inflation. The impact of inflation on confidence has moved considerably over time and switched on average from negative to positive in 1997. Motivated by this evidence, I...

I analyze time series momentum along the Treasury term structure. Past bond returns predict future returns both due to autocorrelation in bond risk premia and because unexpected bond return shocks increase the premium. Yield curve momentum is primarily due to autocorrelation in yield changes...

We propose and test a new channel that links funding liquidity risk and interest rates in short-term funding markets. Borrowers with high liquidity risk are willing to pay a markup to lock in their funding, independent of risk premiums demanded by lenders. We test the channel using unique...

The risk reducing benefits of the sovereign bond-backed security (SBBS) proposal of Brunnermeier et al (2011, 2016, 2017) have been assessed in terms of the likely losses that different kinds of holders would suffer under simulated default scenarios. However, the effects of mark-to-market losses...

This article revisits recent literature on factor investing in government bonds, in particular regarding the definition of value and defensive investing. Using techniques derived from machine learning, the authors identify the key drivers of government bond futures and the groups of factors that...