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Publications : Felix Goltz, Lionel Martellini, Volker Ziemann - Exchange-Traded Fixed-Income Derivatives in Asset Management and Asset-Liability Management


Goltz F., L. Martellini, V. Ziemann (2007) "Exchange-Traded Fixed-Income Derivatives in Asset Management and Asset-Liability Management", EDHEC Risk and Asset Management Research Centre, EDHEC Working Paper.

[Thus page in english]

Résumé

In this paper, we examine how standard exchange-traded fixed-income derivatives (futures and options on futures contracts) can be made part of sound risk and asset management in such a way as to improve the risk and return performance characteristics of managed portfolios. Our results show that the non-linear character of the returns on protective option strategies offers appealing risk reduction properties in pure asset management. Consequently, such strategies should optimally receive a significant allocation, especially when investors are concerned with minimising extreme risks. In asset-liability management, we also show that fixed-income derivatives in general, and recently launched long-term futures contracts in particular, offer significant shortfall risk reduction benefits. These results have potentially significant implications in the context of an increased focus on matching liability portfolios.


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Pour plus d'informations, nous vous prions de vous adresser à Joanne Finlay, Direction de la recherche de l'EDHEC [ joanne.finlay@edhec.edu]

Les opinions exprimées sont celles de l'auteur et n'engagent pas la responsabilité de l'EDHEC.

EDHEC_Working_Paper_Paper_Exchange-Traded_Fixed-Income_Derivatives.
[Texte intégral - En anglais - PDF
20 pages - 0,62 Mo]

rédigé par STEPHANE COLOMBANI
mise à jour le 11 janvier 2008

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