Neural network forecasting in prediction Sharpe ratio: Evidence from EU debt market

D Vukovic, Y Vyklyuk, N Matsiuk, M Maiti - Physica A: Statistical Mechanics …, 2020 - Elsevier
This study analyzes a neural networks model that forecast Sharpe ratio. The developed
neural networks model is successful to predict the position of the investor who will be …

Bond portfolio optimization: A risk-return approach

O Korn, C Koziol - 2006 - econstor.eu
In this paper, we apply Markowitz's approach of portfolio selection to government bond
portfolios. As a main feature of our analysis, we use term structure models to estimate …

Portfolio selection strategy for fixed income markets with immunization on average

S Ortobelli, S Vitali, M Cassader, T Tichý - Annals of Operations Research, 2018 - Springer
In this paper, we develop a portfolio optimization method to maximize the performance of a
fixed income portfolio. To achieve this aim, we define a two-step optimization problem where …

[BOOK][B] Theory and reality în financial economics: essays toward a new political finance

GM Frankfurter - 2007 - books.google.com
The current literature on financial economics is dominated by neoclassical dogma and,
supposedly, the notion of value-neutrality. However, the failure of neoclassical economics to …

Bond portfolio optimization in the presence of duration constraints

R Deguest, F Fabozzi, L Martellini… - The Journal of Fixed …, 2018 - pm-research.com
Many hedge funds claim to provide significant diversification for traditional portfolios,
besides attractive returns. The authors provide empirical evidence regarding the return and …

[BOOK][B] Wertpapieranalyse

H Uhlir, P Steiner - 2013 - books.google.com
In den letzten Jahren ist im deutschsprachigen Raum eine Reihe von Arbeiten erschienen,
die sich überwiegend in Form von Aufsätzen, seltener in Form von Monographien mit der …

[BOOK][B] International government bond markets: determinants of yields and volatility linkages

HF Baklaci - 2003 - search.proquest.com
In this study, insight into characteristics of international government bond markets is
provided by identifying the relative effects of domestic and global factors in the determination …

Sherman ratio optimization: constructing alternative ultrashort sovereign bond portfolios

K Henide - Journal of Investment Strategies, 2023 - papers.ssrn.com
We construct duration-matched portfolios from the universe of the ICE BoA 0–2 Year AAA
Euro Government Index (the “benchmark”), reweighted to optimize the portfolio Sherman …

An Empirical Analysis of the Benefits of Corporate Bond Portfolio Optimization in the Presence of Duration Constraints

R Deguest, L Martellini, V Milhau - The Journal of Fixed Income, 2022 - pm-research.com
This article analyzes the out-of-sample performance of portfolio optimization models in the
US corporate bond universe. In our empirical study, we measure the benefits of naive …

The capital-asset pricing model reconsidered: tests in real terms on a South African market portfolio comprising equities and bonds

RJ Thomson, TL Reddy - South African Actuarial Journal, 2013 - journals.co.za
This paper extends previous work of the authors to reconsider the capital-asset pricing
model (CAPM) in South Africa in real terms. As in that work, the main question this study …