reduces both market price risk and reinvestment risk for a bond portfolio in the presence of interest rate uncertainty …Many bond portfolio managers argue that bond laddering tends to outperform other bond investment strategies because it …. Despite the popularity of bond ladders as a strategy for managing investments in fixed-income securities, there is surprising …

been performed in our recent working paper [5],"Enhancement of the Fisher-Weil bond technique immunization". So it is seen … curve ; Bond portfolio ; immunization ; optimization ; linearization …

there is no clear common sense for that. Our main purpose in this paper is to present how the classical Fisher-Weil bond … change approximation and the associated bond hedging technique can be enhanced, such that we are able to solve simultaneously … these two issues. The good approximation of the bond or portfolio change we derive, allows to get an interesting consequence …

We develop a novel approach to the bond portfolio optimization in insurance companies that are subject to the new …-exposure to bonds with higher credit risk in different market regimes represents a weakness of the Solvency II regulation with …

significantly reduce drawdown measures and tail risk under various market regimes while still enhancing risk-adjusted returns. We … rigorous out-of-sample portfolio analysis using four different asset-allocation models of varying levels of estimation risk …

highlighting the portfolio's exposure to duration risk. This indicator is incorporated within a broader framework, in which a …

arbitrary shock to the term structure of interest rates. A “passive” management strategy emerges, aimed at minimizing risk, such … that the exposure to an arbitrary variation of the shape of the term structure is minimized with respect to a risk measure … the classical risk-return approach to portfolio management, in a model which overturns the “passive” perspective of …

of return potential and risk drivers on the bond allocation, on assumptions and on market conditions in order to improve … counterproductive from a quantitative risk perspective. Bond portfolios are less risky in an ALM-context than in an assets-context due …A system is implemented that simulates a bond portfolio over the long-term of liabilities. It pays all liabilities and …

an aggregate fixed income allocation to reduce the impact on the risk and return characteristics of the existing …