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- Published online October 1, 2020.
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- Latest version (August 13, 2020 - 03:10).
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© 2020 Pageant Media Ltd
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- Eugene Podkaminer
- Wylie Tollette
- Laurence Siegel
- To order reprints of this article, please contact David Rowe at d.rowe{at}pageantmedia.com or 646-891-2157.
Real Interest Rate Shocks and Portfolio Strategy
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- Article
- Abstract
- NOMINAL AND REAL INTEREST RATES
- THE CENTRAL ROLE OF LIABILITIES
- PRINCIPAL FINDINGS
- REAL INTEREST RATE SHOCKS AND THE MULTI-ASSET PORTFOLIO
- BONDS HAVE TWO DURATIONS
- THE VSMM
- EXPLAINING REAL INTEREST RATES WITH THE VERY SIMPLE MACRO MODEL
- LOOKING TOWARD THE FUTURE
- REAL INTEREST RATE DURATION AND PORTFOLIO MANAGEMENT
- IMPLICATIONS FOR FIXED-INCOME PORTFOLIOS AND FOR ASSET-LIABILITY MANAGEMENT
- IMPLICATIONS FOR OTHER ASSET CLASSES
- INTERNATIONAL ISSUES
- CONCLUSION: CONSIDERATIONS FOR INVESTORS
- ADDITIONAL READING
- ACKNOWLEDGMENTS
- APPENDIX
- ENDNOTES
- REFERENCES
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