2-FACTOR MODEL FOR BOND SELECTION

被引：1

作者：

FANG, ZM

WOO, CK

机构：

来源：

ECONOMICS LETTERS | 1991年 / 37卷 / 04期

关键词：

D O I：

10.1016/0165-1765(91)90080-5

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Implementing Markowitz's generalized model of optimal portfolio selection using a factor model is a practical alternative to the calculation of the full variance-covariance matrix of security returns. This note investigates whether the efficient frontier of bond returns is sensitive to how a two-factor model is estimated. An analysis of 19 bond categories with different maturities indicates that the efficient frontiers obtained are sensitive to the choice of estimation method.

引用

页码：417 / 421

页数：5

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