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BEGIN:VEVENT
UID:14f4eacd2f1fe0f34ca931b49de2c68d
CATEGORIES:Seminars
CREATED:20231219T090348
SUMMARY:Giorgia Simion - WU Vienna University of Economics and Business
DESCRIPTION;ENCODING=QUOTED-PRINTABLE:\n\nPricing and Constructing International Government Bond Portfolios \n\n\
 nAbstract:\nIn developed government bond markets, even simple diversificati
 on strategies are shown to offer significant benefits due to imperfectly co
 rrelated term-structure dynamics. We derive a stochastic discount factor to
  price this asset class by projecting returns onto the unconditional mean-v
 ariance efficient portfolio. The resulting market price of risk varies subs
 tantially over time, peaking during crises and periods of inflation rate di
 spersion. International bond returns exhibit a strong factor structure, but
  common sources of return variation show little connection to priced risks.
  Hedging unpriced risks from naive or factor-based strategies enhances Shar
 pe ratios significantly, even when portfolio weight limits are imposed.\n
DTSTAMP:20260522T104727Z
DTSTART:20240606T143000Z
DTEND:20240606T160000Z
SEQUENCE:0
TRANSP:OPAQUE
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