Attributing Returns and Optimising United States Swaps Portfolios Using an Intertemporally-Consistent and Arbitrage-Free Model of the Yield Curve
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More about this item
Keywordsyield curve; term structure; fixed interest securities; portfolio optimisation; interest rate swaps;
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-03-20 (All new papers)
- NEP-FIN-2005-03-20 (Finance)
- NEP-FMK-2005-03-20 (Financial Markets)
- NEP-MAC-2005-03-20 (Macroeconomics)
- NEP-RMG-2005-03-20 (Risk Management)
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