Portfolio selection strategy for fixed income markets with immunization on average

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Portfolio selection strategy for fixed income markets with immunization on average

Popis výsledku v původním jazyce

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&apos; 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

Název v anglickém jazyce

Portfolio selection strategy for fixed income markets with immunization on average

Popis výsledku anglicky

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&apos; 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

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/GA15-23699S" target="_blank" >GA15-23699S: RPF a OT aplikovaná na mezinárodních finančních trzích a problému výběru portfolio</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2018

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Annals of Operations Research

ISSN

0254-5330

e-ISSN

—

Svazek periodika

260

Číslo periodika v rámci svazku

1-2

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

21

Strana od-do

395-415

Kód UT WoS článku

000419148700018

EID výsledku v databázi Scopus

2-s2.0-84976259438