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Online seminar – Pricing and constructing international government bond portfolios

13:00 - 14:15

Josef Zechner, Finance Professor, WU Vienna University of Economics and Business

This paper documents that even naïve cross-market diversification strategies lead to substantial improvements of risk-return relations of government bond portfolios. Motivated by this finding, we derive a global stochastic discount factor, which prices excess returns of individual bond markets and international bond portfolio strategies. The SDF is supported by standard validation tests, but the fraction of unpriced components of bond returns is high, at around 50%. Hedging internationally diversified bond portfolios against these unpriced risks improves portfolio performance substantially. The performance improvements are robust, even when conservative bounds on individual market weights are imposed. We find that the SDF cannot be explained by the principal components derived from bond returns.



Coller Alternative Protein Competition

9 May 17:30 - 19:30 | 25 May 17:30 - 19:30 | 23 Jun 17:30 - 19:30

In partnership with the Entrepreneurship Centre, Cambridge Judge Business School. Launching 9 May 2022 and running throughout June 2022.

Do you have an idea for an alternative protein startup that can help feed ten billion people by 2050?

Do you have an idea for an alternative protein startup that can help tackle the global issues we face around climate change, global food insecurity, food safety, public health, antibiotic resistance, and animal welfare?

Would your idea benefit from winning £100,000 investment to help you realise its potential? (more…)