Portfolio selection strategy for fixed income markets with immunization on average

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F18%3A86098327" target="_blank" >RIV/61989100:27510/18:86098327 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1007/s10479-016-2182-8" target="_blank" >http://dx.doi.org/10.1007/s10479-016-2182-8</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s10479-016-2182-8" target="_blank" >10.1007/s10479-016-2182-8</a>

Result language
angličtina
Original language name
Portfolio selection strategy for fixed income markets with immunization on average
Original language description
In this paper, we develop a portfolio optimization method to maximize the performance of a fixed income portfolio. To achieve this aim, we define a two-step optimization problem where we firstly manage the immunization risk and then we maximize the portfolio wealth in a reward-risk framework. In the first optimization step, we create funds of bonds with constant immunization measure over time, and we propose an innovative immunization measure for bond portfolio management that leads to a more flexible immunization approach and a better trade-off between reward and risk. In the second optimization step, maximizing two performance measures on these baskets of bonds we obtain portfolio strategies that consider different investors' profiles. An empirical application to the US fixed income market during 2002-2012 period is provided. Applying the portfolio optimization method to different bond classes, we compare the results with an equity index. This ex-post analysis indicates the benefits of the proposed portfolio strategy in outperforming the benchmark and proves that capital flows to safer markets during crisis periods. (C) 2016 Springer Science+Business Media New York
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50206 - Finance

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)

Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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