Titre :

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

Auteur(s) :

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

Titre de la revue :

Journal of fixed income

Pagination :

50-82

Éditeur :

Institutional Investor Inc

Date de publication :

2022-04-01

ISSN :

1059-8596

Discipline(s) HAL :

Sciences de l'Homme et Société/Economies et finances

Résumé en anglais : [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 ...
Lire la suite >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.Lire moins >

Langue :

Anglais

Vulgarisation :

Non

Collections :

• Lille Économie Management (LEM) - UMR 9221

Source :

Harvested from HAL