%0 Journal Article %A Ulf Herold %A Raimond Maurer %A Nader Purschaker %T Total Return Fixed-Income Portfolio Management %D 2005 %R 10.3905/jpm.2005.500351 %J The Journal of Portfolio Management %P 32-43 %V 31 %N 3 %X 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). %U https://jpm.pm-research.com/content/iijpormgmt/31/3/32.full.pdf