FIXED-INCOME SECURITIES - Are Multiple Hedging Instruments Better than One? - The authors examine the effectiveness of the ten-year, the five-year, and the two-year Treasury note futures contracts in hedging the price risk of fixed-rate mortgage-backed securities. The ten-year Treasury note futures contract offers superior hedging opportunities across all six coupon MBS examined. Using multiple ...
| Year of publication: |
2000
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| Authors: | Koutmos, Gregory ; Pericli, Andreas |
| Published in: |
The journal of portfolio management : a publication of Institutional Investor. - New York, NY : Institutional Investor, ISSN 0095-4918, ZDB-ID 1971451. - Vol. 26.2000, 2, p. 63-70
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