TY - JOUR T1 - Instantaneous Mean-Variance Analysis of Bond Returns JF - The Journal of Fixed Income SP - 32 LP - 39 DO - 10.3905/jfi.2004.419551 VL - 14 IS - 1 AU - Haim Reisman AU - Gady Zohar Y1 - 2004/06/30 UR - https://pm-research.com/content/14/1/32.abstract N2 - 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. ER -