A mean/variance approach to long-term fixed-income portfolio allocation

DOI10.1080/14697688.2013.766759MaRDI QIDQ5397474zbMATH OpenOpenAlexFDO

Authors G. Zumbach

Publication date 20 February 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2013.766759

zbMATH Keywords

risk premiumportfolio allocationdefaultable securitiesbond yieldsrisk/return scaling

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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Cited in

(4)

• Static Markowitz mean-variance portfolio selection model with long-term bonds
• Influence of real interest rate volatilities on long-term asset allocation
• Decomposing Long Bond Returns: A Decentralized Theory
• Bond portfolio optimization with long-range dependent credits

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