Derivatives Strategies for Bond Portfolios

In this paper, we examine how standard exchange-traded fixed-income derivatives (futures and options on futures contracts) can be included in a sound risk and asset management process so as to improve risk and return performance characteristics of managed portfolios.

Auteur(s) :

Felix Goltz

Research Engineer at the EDHEC Risk and Asset Management Research Centre

Lionel Martellini

Professor of Finance at EDHEC Graduate School of BusinessScientific Director of the EDHEC Risk and Asset Management Research Centre

Volker Ziemann

Research Engineer at the EDHEC Riskand Asset Management Research Centre

Présentation :

Our results show that the non-linear character of the returns on protective option strategies offers appealing risk reduction properties in the pure asset management context. Consequently, such strategies should optimally receive a significant allocation, especially when investors are concerned with minimising extreme risks. In an asset liability management context, we also show that fixed-income derivatives in general, and recently launched long-term futures contracts in particular, offer significant shortfall risk reduction benefits. These results have potentially significant implications in the context of an increased focus on matching liability portfolios.
Pdf
Derivatives Strategies for Bond Portfolios...
(826.07 KB)
Type : Working paper
Date : le 06/08/2007
Complément d'informations 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.
Pôle de recherche Finance

A voir également

Taxe apprentissage 2017
- 19-01-2017
Pour vous, nous poursuivons un seul objectif : former les meilleurs talents qui...
- 19-01-2017
L’association étudiante Aventure Équitable a organisé ce lundi 16 et mardi 17 Janvier  une  Journée consacrée à l’Innovation Sociale sur le campus EDHEC. Cet événement  s’est...
- 17-01-2017
[Téléchargez le Programme]   S'inscrire         L'EDHEC Research Day se tiendra le mardi 14 mars 2017 sur le campus EDHEC Business School de Lille. Les...
L’EDHEC 3eme Grande Ecole Française selon le classement du Financial Times (2016-2017)
- 05-12-2016
L’EDHEC Business School intègre le cercle très fermé et exigeant du Top 15 des «...