@article {Herold32, author = {Ulf Herold and Raimond Maurer and Nader Purschaker}, title = {Total Return Fixed-Income Portfolio Management}, volume = {31}, number = {3}, pages = {32--43}, year = {2005}, doi = {10.3905/jpm.2005.500351}, publisher = {Institutional Investor Journals Umbrella}, abstract = {The fixed{\textendash}income portfolio strategy investigated here is designed to generate positive returns and be completely risk{\textendash}based; it does not require any forecasts about future yield curve movements. The idea is to control the shortfall risk of a fixed{\textendash}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{\textendash}return threshold).}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/31/3/32}, eprint = {https://jpm.pm-research.com/content/31/3/32.full.pdf}, journal = {The Journal of Portfolio Management} }