Instantaneous Mean-Variance Analysis of Bond Returns

Haim Reisman; Gady Zohar

doi:10.3905/jfi.2004.419551

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Instantaneous Mean-Variance Analysis of Bond Returns

Haim Reisman and Gady Zohar

The Journal of Fixed Income Summer 2004, 14 (1) 32-39; DOI: https://doi.org/10.3905/jfi.2004.419551

Haim Reisman

An associate professor of finance at the Technion – Israel Institute of Technology.

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For correspondence: reisman@ie.technion.ac.il

Gady Zohar

A lecturer in finance at the Technion – Israel Institute of Technology.

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For correspondence: gady@tx.technion.ac.il

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Abstract

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.

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The Journal of Fixed Income

Vol. 14, Issue 1

Summer 2004

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Instantaneous Mean-Variance Analysis of Bond Returns