Arbeitspapier
Bond portfolio optimization: A risk-return approach
In this paper, we apply Markowitz's approach of portfolio selection to government bond portfolios. As a main feature of our analysis, we use term structure models to estimate expected returns, return variances, and covariances of different bonds. Our empirical study for the German market shows that a small number of risky bonds is sufficient to reach very promising predicted risk-return profiles. If the number of risky bonds in the portfolio is not too large and the term structure model does not contain more than two factors, these predictions are confirmed by the realized risk-return profiles.
- Language
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Englisch
- Bibliographic citation
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Series: CFR Working Paper ; No. 06-03
- Classification
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Wirtschaft
- Event
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Geistige Schöpfung
- (who)
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Korn, Olaf
Koziol, Christian
- Event
-
Veröffentlichung
- (who)
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University of Cologne, Centre for Financial Research (CFR)
- (where)
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Cologne
- (when)
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2006
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Korn, Olaf
- Koziol, Christian
- University of Cologne, Centre for Financial Research (CFR)
Time of origin
- 2006
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