When do bond markets reward investors for interest rate risk? Empirical evidence and implications for long-term investors

Journal of Portfolio Management

Volumn 22, Issue 2, 1996, Pages 52-64

  Ilmanen, Antti ^a  

^a Salomon Brothers Inc   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030524969     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.1996.52     Document Type: Article

References (9)

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3. Ilmanen, A. "Does Duration Extension Enhance Long-Term Expected Returns?" Salomon Brothers Inc, July 1995a.
4. -. "Time-Varying Expected Returns in International Bond Markets." Journal of Finance, June 1995b.
5. Jones, I.E. "Can a Simplified Approach to Bond Portfolio Management Increase Return and Reduce Risk?" Journal of Portfolio Management, Winter 1992.
6. Leibowitz, M.L., and R.D. Henriksson. "Portfolio Optimization with Shortfall Constraints." Financial Analysts Journal, Vol. 45, 2 (1989).
7. Mankiw, N.G. "The Term Structure of Interest Rates Revisited." Brookings Papers on Economic Activity, 1986.
8. Marcus, A.J. "An Equilibrium Theory of Excess Volatility and Mean Reversion in Stock Market Prices." Working paper #3106, National Bureau of Economic Research, 1989.
9. Sharpe, W.F. "Investor Wealth Measures and Expected Return." In Quantifying the Market Risk Premium Phenomenon for Investment Decision Making. Charlottesville, VA: The Institute of Chartered Financial Analysts, 1990.