Similar Search Results

Out-of-sample bond risk premium predictions : a global common factor

Zhu, Xiaoneng - In: Journal of international money and finance 51 (2015), pp. 155-173

Persistent link: https://www.econbiz.de/10011475246

Multi-period dynamic bond portfolio optimization utilizing a stochastic interest rate model

Shimai, Yoshiyuki; Makimoto, Naoki - In: Asia Pacific financial markets 30 (2023) 4, pp. 817-844

Persistent link: https://www.econbiz.de/10014391968

Financial Markets Efficiency and Economic Behaviour : Evaluating Euro Area Economies

Tomat, Gian Maria - 2023

-- Chapter 5 Bond valuation -- Chapter 6 Yield curves -- Chapter 7 Term structure models -- Chapter 8 Real estate market …

Persistent link: https://www.econbiz.de/10014337024

Bond returns and market expectations

Altavilla, Carlo; Giacomini, Raffaella; Costantini, Riccardo - In: Journal of financial econometrics : official journal of … 12 (2014) 4, pp. 708-729

Persistent link: https://www.econbiz.de/10010512285

New methods in fixed income modeling : fixed income modeling

Mili, Mehdi (ed.); Samaniego Medina, Reyes (ed.); … - 2018

practitioners interested in the theory behind fixed income instruments, and in their applications in financial portfolio management …

Persistent link: https://www.econbiz.de/10011890434

Out-of-sample predictions of bond excess returns and forward rates : an asset allocation perspective

Thornton, Daniel L.; Valente, Giorgio - In: The review of financial studies 25 (2012) 10, pp. 3141-3168

Persistent link: https://www.econbiz.de/10009630174

Modeling the time-varying dynamic term structure of interest rates

Choi, Ahjin; Kang, Kyu Ho - In: Journal of banking & finance 153 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014490339

The bond-stock mix under time-varying interest rates and predictable stock returns

Leirvik, Thomas - In: Finance research letters 11 (2014) 3, pp. 231-237

Persistent link: https://www.econbiz.de/10010441864

Yield Curve Forecast Combinations Based on Bond Portfolio Performance

Caldeira, João - 2017

returns obtained by a given forecast model. An empirical application based on an optimal mean-variance bond portfolio problem … measures of forecast accuracy. We compute average net excess returns, standard deviation, and the Sharpe ratio of bond …

Persistent link: https://www.econbiz.de/10012960063

New Methods in Fixed Income Modeling : Fixed Income Modeling

Mili, Mehdi (ed.); Samaniego Medina, Reyes (ed.); … - 2018

practitioners interested in the theory behind fixed income instruments, and in their applications in financial portfolio management …

Persistent link: https://www.econbiz.de/10012396848