@article {Goltz39, author = {Felix Goltz and Lionel Martellini and Volker Ziemann}, title = {Exchange-Traded Fixed-Income Derivatives in Asset Management and Asset-Liability Management}, volume = {16}, number = {1}, pages = {39--54}, year = {2006}, doi = {10.3905/jfi.2006.640276}, publisher = {Institutional Investor Journals Umbrella}, abstract = {In this article, we examine how standard exchange-traded fixed-income derivatives (futures and options on futures contracts) can be included in a sound risk and asset management process so as to improve risk and return performance characteristics of managed portfolios. Our results show that the non-linear character of the returns on protective option strategies offers appealing risk reduction properties in the pure asset management context. Consequently, such strategies should optimally receive a significant allocation, especially when investors are concerned with minimising extreme risks. In an asset liability management context, we also show that fixed-income derivatives in general, and recently launched long-term futures contracts in particular, offer significant shortfall risk reduction benefits. These results have potentially significant implications in the context of an increased focus on matching liability portfolios.TOPICS: Futures and forward contracts, options}, issn = {1059-8596}, URL = {https://jfi.pm-research.com/content/16/1/39}, eprint = {https://jfi.pm-research.com/content/16/1/39.full.pdf}, journal = {The Journal of Fixed Income} }