English, Article, Journal or magazine article edition: Crisis-Robust Bond Portfolios Marie Brière; Ariane Szafarz

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Bookmark: http://trove.nla.gov.au/version/111251
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Crisis-Robust Bond Portfolios
Author
  • Marie Brière
  • Ariane Szafarz
Physical Description
  • preprint
Notes
  • This paper defines a “crisis-robust portfolio” that satisfies the minimal crisis-to-quiet time volatility ratio. This type of portfolio is less demanding for the investor than a regime-wise asset allocation. Although general, the concept of a crisis-robust portfolio is especially pertinent when applied to the bond market, which offers a flight-to-quality trade-off during crises (all volatilities increase but most correlations decrease). Using three categories of bonds (sovereign, investment grade corporate, and high yield corporate) in the U.S. and Eurozone for the period 1998-2007, we demonstrate the composition of crisis-robust portfolios and discuss the stabilizing role played by low-quality bonds during crises.
  • financial crisis, portfolio management, bonds, fly-to-quality.
  • RePEc:sol:wpaper:07-030
Language
  • English
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