Active currency management of international bond portfolios

Gueorgui Konstantinov ()

Financial Markets and Portfolio Management, 2014, vol. 28, issue 1, 63-94

Abstract: This paper focuses on the estimation and implementation of a holistic quantitative yield-curve-based approach to managing multi-currency bond portfolios. The primary task of the presented model is to manage the portfolio risk and return by exploiting inefficiencies in the emergent complexity of both currency and bond markets to generate alpha. Instead of using proxy variables, the expected return and risk parameters are estimated directly using their underlying simplicity and connectivity, period by period at specific moments in time, thus generating time diversification with aggressive risk taking and positioning. As a result, the strategies described in this paper can be classified as both alpha hunters and generators. Copyright Swiss Society for Financial Market Research 2014

Keywords: Fixed income; Currencies; Portfolio management; Quantitative models; F31; G1; G15 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:kap:fmktpm:v:28:y:2014:i:1:p:63-94

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DOI: 10.1007/s11408-013-0223-8

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