Reward and risk in the fixed income markets
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86088604" target="_blank" >RIV/61989100:27510/13:86088604 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Reward and risk in the fixed income markets
Original language description
In this work we deal the portfolio optimization problem in the fixed income market considering two different risk sources: price risk and market risk. In this framework we propose a three decisional subsequent steps model. In particular, we take into account the price risk discussing an implementation of the classical immunization problem applied to the U.S. fixed income market. The portfolio selection model implements both classic and innovative immunization methodologies. Moreover, using the ex-post results from the optimal immunization problem we are able to account the market risk with other optimization procedures. The results show that we can build efficient portfolios that minimize the price risk and the market risk.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach
Others
Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Financial Regulation and Supervision in the After-Crisis Period : proceedings of 14th International Conference on Finance and Banking : Ostrava, Czech Republic, 16 - 17 October 2013
ISBN
978-80-7248-892-6
ISSN
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e-ISSN
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Number of pages
12
Pages from-to
329-340
Publisher name
Silesian University, School of Business Administration
Place of publication
Karviná
Event location
Ostrava
Event date
Oct 16, 2013
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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