RT Journal Article
SR Electronic
T1 Total Return Fixed-Income Portfolio Management
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 32
OP 43
DO 10.3905/jpm.2005.500351
VO 31
IS 3
A1 Ulf Herold
A1 Raimond Maurer
A1 Nader Purschaker
YR 2005
UL https://pm-research.com/content/31/3/32.abstract
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).