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Exchange-Traded Fixed-Income Derivatives in Asset Management and Asset-Liability Management
In this paper, we examine how standard exchange-traded fixed-income derivatives (futures and options on futures contracts) can be made part of sound risk and asset management in such a way as to improve the risk and return performance characteristics of managed portfolios.
Author(s):
Senior Research Engineer at the EDHEC Risk and Asset Management Research Centre
Professor of Finance and Scientific Director of the EDHEC Risk and Asset Management Research Centre
Research Engineer at the EDHEC Risk and Asset Management Research Centre
| Type: | Working paper |
|---|---|
| Date: | le 05/03/2007 |
| Extra information : | Pour plus d'informations, nous vous prions de vous adresser à Joanne Finlay, Direction de la recherche de l'EDHEC [ joanne.finlay@edhec.edu] Les opinions exprimées sont celles de l'auteur et n'engagent pas la responsabilité de l'EDHEC. |
| Research Cluster : | Finance |
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