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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Bond ladders and optimal portfolios |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Review of Financial Studies |
| Publisher | Oxford University Press |
| Geographical Reach | international |
| ISSN | 0893-9454 |
| Volume | 24 |
| Number | 12 |
| Page Range | 4123 - 4166 |
| Date | 2011 |
| Abstract Text | We analyze complex bond portfolios within the framework of a dynamic general equilibrium asset-pricing model. Equilibrium bond portfolios are nonsensical and imply a trading volume that vastly exceeds observed trading volume on financial markets. Instead, portfolios that combine bond ladders with a market portfolio of equity assets are nearly optimal investment strategies. The welfare loss of these simple investment strategies, when compared to the equilibrium portfolio, converges to zero as the length of the bond ladder increases. This article, therefore, provides a rationale for naming bond ladders as a popular bond investment strategy. |
| Free access at | Related URL |
| Related URLs | |
| Digital Object Identifier | 10.1093/rfs/hhr074 |
| Other Identification Number | merlin-id:6433 |
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