Asset reallocation with interest rate swaps

Zhenmin Fang and Richard Yan-Ki Ho

Applied Economics Letters, 1995, vol. 2, issue 2, 27-30

Abstract: A bond portfolio model with interest rate swaps is developed to carry out the mean-variance analysis. It is found that interest rate swaps can be used to reallocate non-marketable bonds in the portfolio by swapping out the non-traded fixed-rate bonds into LIBOR-based floating rate notes. The optimal allocation of bond portfolios can be achieved from the implicit reallocation of non-marketable bonds in the portfolios.

Date: 1995
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DOI: 10.1080/135048595357636

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