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
Hauptverfasser:	Fogler, H. Russell, Groves, William A., Richardson, James G.
Format:	Artikel
Sprache:	eng
Schlagworte:	Bond portfolios Bonds Capital gains Cash Financial instruments Financial portfolios Interest rates Investment risk Portfolio investments Skewed distribution Standard deviation Strategy Transaction costs
Online-Zugang:	Volltext
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