An Empirical Analysis of the Benefits of Corporate Bond Portfolio Optimization in the Presence of Duration Constraints

2022 ◽  
pp. jfi.2022.1.128
Author(s):  
Romain Deguest ◽  
Lionel Martellini ◽  
Vincent Milhau
Keyword(s):  
Portfolio Optimization ◽  
Empirical Analysis ◽  
Corporate Bond ◽  
Bond Portfolio

Scenario-based dynamic corporate bond portfolio management

2012 ◽  
Vol 23 (4) ◽  
pp. 341-364 ◽  
Author(s):  
P. Beraldi ◽  
F. De Simone ◽  
A. Violi ◽  
G. Consigli ◽  
G. Iaquinta
Keyword(s):  
Portfolio Management ◽  
Corporate Bond ◽  
Bond Portfolio ◽  
Bond Portfolio Management

Bond portfolio optimization using dynamic factor models

2016 ◽  
Vol 37 ◽  
pp. 128-158 ◽  
Author(s):  
João F. Caldeira ◽  
Guilherme V. Moura ◽  
André A.P. Santos
Keyword(s):  
Portfolio Optimization ◽  
Factor Models ◽  
Dynamic Factor ◽  
Dynamic Factor Models ◽  
Bond Portfolio

scholarly journals Editor’s Letter

2018 ◽  
Keyword(s):  
Risk Premium ◽  
Corporate Bond ◽  
Fixed Income ◽  
2008 Financial Crisis ◽  
Stressful Environment ◽  
Rollover Risk ◽  
Government Guarantee ◽  
Bond Portfolio ◽  
The 2008 Financial Crisis ◽  
Relationship Of

Liquidity is considered to be an important risk factor for corporate bond investors, especially in an economically stressful environment. We begin this issue of The Journal of Fixed Income with an article by Scott Richardson and Diogo Palhares that exhibits some counterintuitive evidence for investors anticipating higher future excess returns for a portfolio of less-liquid bonds—no liquidity risk premium, but higher volatility for tilting a bond portfolio. However, during the stressful period associated with the 2008 financial crisis, Jeffrey Black, Seth Hoelscher, and Duane Stock use a government guarantee program to test the causal relationship of rollover risk and the liquidity-credit risk loop resulting in improved liquidity and reduced debt cost.

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