Bond Portfolio Strategies, Returns, and Skewness: A Note
The academic research has produced a series of contributions on optimal portfolio strategies (Bradley and Crane [1], Crane [4], Cheng [3], Fisher and Weil [5], Watson [9], Wolf [10]). Several of these studies--Bradley and Crane, Watson, and Wolf--conclude that an optimal strategy for bank portfolios...
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| Veröffentlicht in: | Journal of financial and quantitative analysis 1977-03, Vol.12 (1), p.127-140 |
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| container_end_page | 140 |
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| container_issue | 1 |
| container_start_page | 127 |
| container_title | Journal of financial and quantitative analysis |
| container_volume | 12 |
| creator | Fogler, H. Russell Groves, William A. Richardson, James G. |
| description | The academic research has produced a series of contributions on optimal portfolio strategies (Bradley and Crane [1], Crane [4], Cheng [3], Fisher and Weil [5], Watson [9], Wolf [10]). Several of these studies--Bradley and Crane, Watson, and Wolf--conclude that an optimal strategy for bank portfolios would be a “dumbbell” strategy. Such a dumbbell strategy invests only in the shortest and longest maturities, ignoring the intermediate maturities. The logic is straightforward: liquidity risk is lowest in the shortest maturities and yield is generally highest in the longest maturities. The risk/return superiority of such a strategy was empirically verified by Watson, with subsequent confirmation by the Bradley and Crane tests via a stochastic dynamic programming formulation. |
| doi_str_mv | 10.2307/2330292 |
| format | Article |
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The risk/return superiority of such a strategy was empirically verified by Watson, with subsequent confirmation by the Bradley and Crane tests via a stochastic dynamic programming formulation.</description><subject>Bond portfolios</subject><subject>Bonds</subject><subject>Capital gains</subject><subject>Cash</subject><subject>Financial instruments</subject><subject>Financial portfolios</subject><subject>Interest rates</subject><subject>Investment risk</subject><subject>Portfolio investments</subject><subject>Skewed distribution</subject><subject>Standard deviation</subject><subject>Strategy</subject><subject>Transaction costs</subject><issn>0022-1090</issn><issn>1756-6916</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>1977</creationdate><recordtype>article</recordtype><recordid>eNp90E1LAzEQBuAgCtYq_oVFBBFczUc3H95q0apUXa1evITs7mzZ1jY1SVH_vSktCh48zTA8zLwMQvsEn1KGxRllDFNFN1CLiIynXBG-iVoYU5oSrPA22vF-jPFygFtIXthZleTWhdq-NTYZBmcCjBrwJ8kThIWbxcZEMpzAxwy8P0-6yb0NsIu2avPmYW9d2-jl6vK5d50OHvo3ve4gLRnphDRTVV0owIWQHSOp4RmTJecgGFcmk4RwWYOgVJaiU3ImMsKqoqAlLWqWCUVZGx2s9s6dfV-AD3psY6p4UlNCFFdSyIiOVqh01nsHtZ67ZmrclyZYL7-i11-J8nAlxz5Y9w9LV6zxAT5_mHETzUVMqXn_Ud_i17s8F1zn0R-vA5hp4ZpqBL8x_-7-BuMteB0</recordid><startdate>19770301</startdate><enddate>19770301</enddate><creator>Fogler, H. 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| identifier | ISSN: 0022-1090 |
| ispartof | Journal of financial and quantitative analysis, 1977-03, Vol.12 (1), p.127-140 |
| issn | 0022-1090 1756-6916 |
| language | eng |
| recordid | cdi_proquest_journals_211969878 |
| source | EBSCOhost Business Source Complete; JSTOR Archive Collection A-Z Listing; Cambridge University Press Journals Complete |
| subjects | Bond portfolios Bonds Capital gains Cash Financial instruments Financial portfolios Interest rates Investment risk Portfolio investments Skewed distribution Standard deviation Strategy Transaction costs |
| title | Bond Portfolio Strategies, Returns, and Skewness: A Note |
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