PT  - JOURNAL ARTICLE
AU  - Ulf Herold
AU  - Raimond Maurer
AU  - Nader Purschaker
TI  - Total Return Fixed-Income Portfolio Management
AID  - 10.3905/jpm.2005.500351
DP  - 2005 Apr 30
TA  - The Journal of Portfolio Management
PG  - 32--43
VI  - 31
IP  - 3
4099  - https://pm-research.com/content/31/3/32.short
4100  - https://pm-research.com/content/31/3/32.full
AB  - The fixed–income portfolio strategy investigated here is designed to generate positive returns and be completely risk–based; it does not require any forecasts about future yield curve movements. The idea is to control the shortfall risk of a fixed–income portfolio dynamically, allowing portfolio managers to spend their available risk budgets flexibly (taking duration, yield curve, and credit positions). The total risk of the portfolio is adjusted on a daily basis to produce positive total returns (or a total return above a prespecified minimum–return threshold).