RT Journal Article
SR Electronic
T1 Instantaneous Mean-Variance Analysis of Bond Returns
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP 32
OP 39
DO 10.3905/jfi.2004.419551
VO 14
IS 1
A1 Haim Reisman
A1 Gady Zohar
YR 2004
UL https://pm-research.com/content/14/1/32.abstract
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.