Two-factor model for bond selection

Zhenmin Fang, Chi-Keung WOO

    Research output: Contribution to journalJournal articlepeer-review

    1 Citation (Scopus)


    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 fromtiers obtained are sensitive to the choice of estimation method.

    Original languageEnglish
    Pages (from-to)417-421
    Number of pages5
    JournalEconomics Letters
    Issue number4
    Publication statusPublished - Dec 1991

    Scopus Subject Areas

    • Finance
    • Economics and Econometrics


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