Electronic Resource
Oxford, UK
:
Blackwell Publishing Ltd
Decision sciences
19 (1988), S. 0
ISSN:
1540-5915
Source:
Blackwell Publishing Journal Backfiles 1879-2005
Topics:
Economics
Notes:
In the present study, we offer an alternative approach to bond portfolio management which differs from the traditional immunization approach. In doing so, we formalize what has been a common practice among some investors who form portfolios of bonds and stocks with a view to optimizing the trade-off between risk and return. By using the general multiindex model to characterize the variance-covariance structure of security returns, both duration theory and modern equilibrium theories of the term structure are incorporated in the analysis. In addition, a simplified selection procedure based on a single-index model is derived. This procedure is intuitively appealing to practitioners since it selects assets on the basis of reward per unit of risk of individual assets.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1111/j.1540-5915.1988.tb00257.x
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