ASSET REALLOCATION WITH INTEREST-RATE SWAPS

Authors
FANG ZM HO RYK
Citation
Zm. Fang et Ryk. Ho, ASSET REALLOCATION WITH INTEREST-RATE SWAPS, Applied economics letters, 2(2), 1995, pp. 27-30
Citations number
10
Categorie Soggetti
Economics
Journal title
Applied economics letters → ACNP
ISSN journal
13504851
Volume
2
Issue
2
Year of publication
1995
Pages
27 - 30
Database
ISI
SICI code
1350-4851(1995)2:2<27:ARWIS>2.0.ZU;2-F
Abstract
A bond portfolio model with interest rate swaps is developed to carry out the mean-variance analysis. It is found that interest rate swaps c an be used to reallocate non-marketable bonds in the portfolio by swap ping out the non-traded fixed-rate bonds into LIBOR-based floating-rat e notes. The optimal allocation of bond portfolios can be achieved fro m the implicit reallocation of non-marketable bonds in the portfolios.