International Journal of IT Business Strategy Management
| Volume 3, No. 2, 2017, pp 1-8 | ||
| Abstract |
Efficient Floater Portfolio Construction in a Rising Interest Rate Regime
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Abstract
In this article, we have investigated risk factor exposures such as size, the value, low risk, and momentum in the universe of 2,588 US dollar denominated investment grade floaters inclusive of rated structured products and plain-vanilla corporate bonds and developed the market-friendly trading policies in a rising interest rate environment. To the best of our understanding, this paper is the first risk factor approach to develop the floater investment strategy.