Bond Portfolio
Exploring the benefits of international government bond portfolio diversification strategies
... linked bond index make a significant incremental contribution to the CER performance when added to the investment universe in the presence of no short selling ...government bond portfolio ...
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Bond Portfolio Allocations in South Africa Emerging Markets
... government bond portfolio, and provides complete performance evaluations of DMs with or without South Africa emerging market (SAEM) ...relative bond returns of dynamic factor models with time-varying ...
8
Bond Portfolio Optimization: A Dynamic Heteroskedastic Factor Model Approach
... The literature shows few references suggesting the use of mean-variance approach to bond portfolio selec- tion (see, for example, Wilhelm, 1992; Korn & Koziol, 2006; Puhle, 2008). In practice, ...
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MainStay VP High Yield Corporate Bond Portfolio Initial Class
... NRSRO. Bond funds are assigned a style box placement of “low,” “medium,” or “high” based on their average credit ...a bond portfolio, Morningstar first maps the NRSRO credit ratings of the underlying ...
6
Vanguard Variable Insurance Fund High Yield Bond Portfolio
... Vanguard portfolio are valued based on information furnished by an independent pricing service or market ...a portfolio are converted into ...a portfolio are based on the NAVs of the ...a ...
27
Total Return Tax-Free Municipal Bond Portfolio Style
... a portfolio manager for municipal bond ...manage portfolio construction, management, analysis, trading, and research for both tax-free and taxable bond ...Municipal Bond Investments for ...
13
Climate risk assessment of the sovereign bond portfolio of European Insurers
... The following table provides simple average of results of shock for the scenario LIMITS RedPol-450 mild computed with the IAM MESSAGE aggregated by bond issuers and their residual maturities. The sovereigns that ...
21
Credit Risk Determination of Bond Portfolio Traded on LSE through CreditMetrics methodology
... První portfolio (portfolio A) je sestaveno z deseti kus ů obligací (od každého emitenta jedna) o nominální hodnot ě zachycené v ...Toto portfolio tak umož ň uje ohodnotit podíl každého samostatného ...
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Will Floating-Rate Bonds Sink Your Bond Portfolio?
... its bond purchases later in the ...Treasury bond yields, which represent long-term rates, have gone up by over 1% from the lows, but three- month Treasury bill rates, representative of short-term rates, ...
20
Global bond portfolios and EMU
... Following Lane and Milesi-Ferretti (2004, 2005), this study has excluded external offshore centers from the analysis. In future research, it would be interesting to investigate the role played by these various locations ...
48
Macroeconomic Risks and Characteristic Based Factor Models
... market portfolio, two government bond portfolios, a default bond portfolio, and ...market portfolio weight, we also include two market portfolio slope dummies for the period from ...
50
Conditional Portfolio Choice in the U.S. Bond Market: The Role of Liquidity
... Table 1 shows descriptive statistics of the liquidity predictors and holding period government bond portfolio returns, for the three investment horizons: one-month, one-quarter and one-year. The first lines ...
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Optimizing the Equity-Bond-Annuity Portfolio in Retirement: The Impact of Uncertain Health Expenses
... In a recent study, de Nardi, French and Jones (2006) find that out-of-pocket health care costs increase quickly with both age and permanent income. People in higher income groups, compared with the low-income households, ...
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Implementation of Stochastic Yield Curve Duration and Portfolio Immunization Strategies
... of bond portfolio values as functionals of the forward curve f t , 0 ≤ ≤ t T ...the bond portfolio value, which gives a more realistic portfolio modeling and which we don’t consider in ...
15
Essays on International Finance and Risk Sharing
... corporate bond portfolios are tested one at a time against the US benchmark, only Japan provides statistically significant efficiency gains of ...their portfolio in foreign corporate ...corporate ...
146
Dynamic correlations: The implications for portfolio construction
... for portfolio construction Because bonds have relatively low volatility in addition to low average correlations to stocks, investors have traditionally used bonds to diversify their stock ...typical bond ...
14
Corporate Bond and Commercial Loan Portfolio Analysis
... institutions, with bank loan research departments and regulators spending considerable resources to reduce the likelihood of major loan losses that jeopardize the very existence of the lending institution. Recent bank ...
28
Fed Policy Expectations and Portfolio Flows to Emerging Markets
... Will capital flows to emerging markets wane during the Fed's imminent policy tightening cycle? The existing empirical literature seems to suggest that flows should indeed weaken as the Fed raises policy rates. Many ...
51
Securitisation and asset prices
... price ratio and the yield spread. We find that an innovation to the growth of asset-backed securitization leads to a statistically and economically significant drop in term spreads, equity and bond premium and ...
58
The European corporate bond market and debt portfolio losses in a reduced-form factor model
... We divide the corporate bonds into classes corp := class = (risk, sec). Firstly, a corpo- rate claim is characterized by the level of default riskiness of the borrower. In the bond market, we assume the risk level ...
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