Title :

An Empirical Analysis of the Benefits of Corporate Bond Portfolio Optimization in the Presence of Duration Constraints

Author(s) :

Deguest, Romain [Auteur]
Lille économie management - UMR 9221 [LEM]
Martellini, Lionel [Auteur]
EDHEC Business School [EDHEC]
Milhau, Vincent [Auteur]
EDHEC Business School [EDHEC]

Journal title :

Journal of fixed income

Pages :

50-82

Publisher :

Institutional Investor Inc

Publication date :

2022-04-01

ISSN :

1059-8596

HAL domain(s) :

Sciences de l'Homme et Société/Economies et finances

English abstract : [en]

This article analyzes the out-of-sample performance of portfolio optimization models in the US corporate bond universe. In our empirical study, we measure the benefits of naive diversification and find that it eventually ...
Show more >This article analyzes the out-of-sample performance of portfolio optimization models in the US corporate bond universe. In our empirical study, we measure the benefits of naive diversification and find that it eventually reaches a limit as the number of bonds increases. Also, we observe substantial improvements in the risk-adjusted performance of scientific portfolio constructions when compared to simple barbell strategies for the same given duration. When duration constraints are relaxed, we find that both naively and scientifically diversified portfolios outperform cap-weighted benchmarks in terms of Sharpe ratio.Show less >

Language :

Anglais

Popular science :

Non

Collections :

• Lille Économie Management (LEM) - UMR 9221

Source :

Harvested from HAL