We discuss the Taylor rule near low inflation and interest rates. Using an additional option-like term in the Federal Reserve’s loss function (i.e., the ‘‘deflation put’’) we extend the classic Taylor rule to one with an asymmetric response that is more accommodative when the inflation...

We investigate the optimal stop-loss on the alpha investment for a portable alpha vehicle. The optimal stop-loss maximizes investors utility of wealth for a portfolio consisting of a portable alpha fund and risk-free assets. We model the dynamics of the assets as a combination of a normal era...

Due to economic feedback the actual risk in bonds from changes in Federal Reserve policy should generally be smaller than measured using conventional duration measures. We introduce the notion of Federal Reserve policy durations. For example, target inflation duration, which measures the change...