Reward and Risk in the Italian Fixed Income Market
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F16%3A86099845" target="_blank" >RIV/61989100:27510/16:86099845 - isvavai.cz</a>
Result on the web
<a href="https://www.ekf.vsb.cz/export/sites/ekf/rmfr/cs/sbornik/Soubory/Part_II.pdf" target="_blank" >https://www.ekf.vsb.cz/export/sites/ekf/rmfr/cs/sbornik/Soubory/Part_II.pdf</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Reward and Risk in the Italian Fixed Income Market
Original language description
In this paper, we discuss and examine the portfolio optimization problems in the Italian fixed income market considering two main sources of risk: prices risk and market risk. To achieve this aim, we propose a two-step optimization problem for two types of bonds. In particular, we manage the price risk implementing the classical immunization method and then, using the ex-post results from the optimal immunization problem, we are able to deal with market risk maximizing the portfolio wealth in a reward-risk framework. Adopting this approach, the paper then explores empirical applications on the Italian fixed income market using data for the period 2005-2015. Empirical results shows that the two-step optimization build efficient portfolios that minimize the price risk and the market risk. This ex-post analysis indicates the usefulness of the proposed methodology, maximizing the investor's wealth and understanding the dynamics of the bonds.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GA15-23699S" target="_blank" >GA15-23699S: Risk Probability Functionals and Ordering Theory Applied to International Financial Markets and Portfolio Selection Problems</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Managing and Modelling of Financial Risks : proceedings of the 8th international scientific conference : September 5-6, 2016, Ostrava, Czech Republic
ISBN
978-80-248-3994-3
ISSN
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e-ISSN
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Number of pages
9
Pages from-to
430-438
Publisher name
VŠB - Technical University of Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 5, 2016
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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