Delivery Options and Treasury-Bond Futures Hedge Ratios
|Year of publication:||
|Authors:||Grieves, Robin; Marcus, Alan J.|
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Institutional Investor, ISSN 1074-1240, ZDB-ID 11690045. - Vol. 13.2005, 2, p. 70
FIXED INCOME - Riding the Bill Curve - The authors examine the effectiveness of"riding the bill curve" using a comprehensive sample of US Treasury bills over a recent ten-year period. The results suggest that riding the bill curve consistently enhances returns over a buy-and-hold strategy on average. Although the additional return is associated with higher risk, the reward is sufficient for all ...
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