Iso-risk: an analysis of risk-taking in fixed income markets
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DOI: 10.1080/00036846.2019.1616063
Abstract: ABSTRACT We test the hypothesis that portfolio managers trade-off variance and kurtosis in asset returns. We find empirical evidence that supports the iso-risk hypothesis using fixed income mutual fund data. Managers appear to systematically ‘swing… read more here.
Keywords: risk; risk analysis; analysis risk; fixed income ... See more keywords