PT  - JOURNAL ARTICLE
AU  - Haim Reisman
AU  - Gady Zohar
TI  - Instantaneous Mean-Variance Analysis of Bond Returns
AID  - 10.3905/jfi.2004.419551
DP  - 2004 Jun 30
TA  - The Journal of Fixed Income
PG  - 32--39
VI  - 14
IP  - 1
4099  - https://pm-research.com/content/14/1/32.short
4100  - https://pm-research.com/content/14/1/32.full
AB  - An explicit formula for the instantaneous expected return of any bond can be used to determine the mean-variance efficient frontier of instantaneous bond returns. Fitting the model to historical U.S. Treasury quotes, the analysis anticipates very high Sharpe ratios. The empirical findings support this prediction.