Search results for "Fixed income"
showing 5 items of 5 documents
Integrated simulation and optimization models for tracking international fixed income indices
2001
Portfolio managers in the international fixed income markets must address jointly the interest rate risk in each market and the exchange rate volatility across markets. This paper develops integrated simulation and optimization models that address these issues in a common framework. Monte Carlo simulation procedures generate jointly scenarios of interest and exchange rates and, thereby, scenarios of holding period returns of the available securities. The portfolio manager’s risk tolerance is incorporated either through a utility function or a (modified) mean absolute deviation function. The optimization models prescribe asset allocation weights among the different markets and also resolve b…
Integration and arbitrage in the Spanish financial markets: An empirical approach*
2000
Several authors have introduced different ways to measure integra-tion between financial markets. Most of them are derived from thebasic assumptions about asset prices, like the Law of One Price or ...
MARKET CORRELATION, MARKET RETURNS AND PORTFOLIO IMPLICATION
2012
In this paper we examine the market correlation and market returns from Romanian perspective. Market returns are higher in emerging markets than developed market returns, but form portfolio perspective it`s also important to evaluate how much correlations are changing in emerging markets. Our results are important in allocation of financial instruments in institutional portfolio management.