Towards a dead end? EMU bond market exposure and manager performance
GS Konstantinov, FJ Fabozzi - Journal of International Money and Finance, 2021 - Elsevier
Using factor models we empirically investigate the performance of European Monetary
Union (EMU) bond managers. We find that (1) alpha is time varying,(2) bond managers …
Union (EMU) bond managers. We find that (1) alpha is time varying,(2) bond managers …
Further examination of the 1/N portfolio rule: a comparison against Sharpe-optimal portfolios under varying constraints
Practical trading constraints (such as asset bounds and transaction costs) are known to
affect the efficient frontier of an investment portfolio. In this study, we investigate out-of …
affect the efficient frontier of an investment portfolio. In this study, we investigate out-of …
On the Dynamics of EMU Bond Portfolios: Is the Diversification of Risk Factors Driving to Convergence of Fund Exposure?
G Konstantinov - The Journal of Investing, 2017 - joi.pm-research.com
We show that the persistent style of European Monetary Union (EMU) bond portfolios
generates significant crowdedness in common factors—curve level and steepness. Despite …
generates significant crowdedness in common factors—curve level and steepness. Despite …