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The Journal of Fixed Income

The Journal of Fixed Income

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Primary Article

Exchange-Traded Fixed-Income Derivatives in Asset Management and Asset-Liability Management

Felix Goltz, Lionel Martellini and Volker Ziemann
The Journal of Fixed Income Summer 2006, 16 (1) 39-54; DOI: https://doi.org/10.3905/jfi.2006.640276
Felix Goltz
A research engineer at EDHEC Risk and Asset Management Research Centre in Nice, France.
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  • For correspondence: felix.goltz@edhec-risk.com
Lionel Martellini
A professor of finance at EDHEC Graduate School of Business and the Scientific Director of EDHEC Risk and Asset Management Research Centre in Nice, France.
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  • For correspondence: lionel.martellini@edhec.edu
Volker Ziemann
A research engineer at EDHEC Risk and Asset Management Research Centre in Nice, France.
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  • For correspondence: volker.ziemann@edhec-risk.com
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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.

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The Journal of Fixed Income
Vol. 16, Issue 1
Summer 2006
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Exchange-Traded Fixed-Income Derivatives in Asset Management and Asset-Liability Management
Felix Goltz, Lionel Martellini, Volker Ziemann
The Journal of Fixed Income Jun 2006, 16 (1) 39-54; DOI: 10.3905/jfi.2006.640276

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Exchange-Traded Fixed-Income Derivatives in Asset Management and Asset-Liability Management
Felix Goltz, Lionel Martellini, Volker Ziemann
The Journal of Fixed Income Jun 2006, 16 (1) 39-54; DOI: 10.3905/jfi.2006.640276
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