Optimal Asset Allocation with Index-Linked Bonds: Evidence from Sweden
Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
This thesis examines the gain to investors of holding index-linked bonds in diversified portfolios by comparing efficient portfolios containing index-linked bonds to portfolios without such bonds. The analytical framework is the single period Markowitz portfolio selection model. Results are calculated and compared for two periods; 1973:2 – 2003:2 and 1995:2 – 2003:3. For the longer period, a series of synthetic index-linked bond returns are estimated from historical nominal market yields and an adaptive expectations approach for estimating future inflation. For the recent period, market data on index-linked bonds is used.
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IdentifiersURN: urn:nbn:se:su:diva-4493OAI: oai:DiVA.org:su-4493DiVA: diva2:194034