bond risk premium and equity risk premium using a methodology that isolates frequencies (of the predictors) with the …

the optimal bond portfolio under both inflation and indexation lags in closed form. We show that indexation lags increase … the number of state variables characterizing both the bond prices and the optimal portfolio. The lag-induced state …

Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of … sovereign bond portfolios of the major European banks. First, we capture the dependence structure of European countries … analysis. We then analyze the risk and diversification in the sovereign bond portfolios of the largest European banks and …

-return relations of government bond portfolios. Motivated by this finding, we derive a global stochastic discount factor, which prices … excess returns of individual bond markets and international bond portfolio strategies. The SDF is supported by standard … validation tests, but the fraction of unpriced components of bond returns is high, at around 50%. Hedging internationally …

Bond fund performance regressions usually lever expected benchmark returns linearly to the fund’s risk exposure. The … it to government bond funds and separate accounts. While separate accounts outperform funds, both show strongly negative …