fixed income   Academic Research on Fixed Income Securities Fixed-incomesecurities, Martellini, L., Priaulet, P., & Priaulet, S. (2003). Risk Management and. Do bonds span thefixed incomemarkets? Theory and evidence for unspanned stochastic volatility, CollinDufresne, P., & Goldstein, R. S. (2002). The Journal of Finance,57(4), 1685-1730. Risk infixed-incomehedge fund styles, Fung, W., & Hsieh, D. A. (2002). Journal of Fixed Income,12(2), 6-27. This paper studies the risk in fixed-income hedge fund styles. Principal component analysis is applied to groups of fixed-income hedge funds to extract common sources of risk and return. These common sources of risk are related to market risk factors, such as changes in interest rate spreads and options on interest rate spreads. The paper finds that fixed-income hedge funds tend to be exposed to a common asset based style ABS factor: credit spreads. Risk and return infixed-incomearbitrage: Nickels in front of a steamroller?, Duarte, J., Longstaff, F. A., & Yu, F. (2006). The Review of Financial Studies,20(3), 769-811. This study presents an analysis of the risk and return characteristics of a number of widely used fixed-income arbitrage strategies. It finds that the strategies requiring more intellectual capital to implement tend to produce significant alphas after controlling for bond and equity market risk factors. The paper suggests that there may be more economic substance to fixed-income arbitrage than what is traditionally being done. Dynamic asset allocation andfixed incomemanagement, Srensen, C. (1999).Journal of financial and quantitative analysis,34(4), 513-531. This paper provides the solution to an intertemporal investment problem. The paper demonstrates that the zero-coupon bond with maturity at the investment horizon is the appropriate instrument for hedging changes in the opportunity set. Implementation issues are discussed and it is shown how the intertemporal investment problem can be recast as a series of mean-variance problems in terms of drift and volatility of the wealth forward price. An application based on a quasi-dynamic programming approach is considered. Liquidity in USfixed incomemarkets: A comparison of the bid-ask spread in corporate, government and municipal bond markets, Chakravarty, S., & Sarkar, A. (1999). This paper examines the determinants of the realized bid-ask spread in the U.S. corporate, municipal and government bond markets for the years 1995 to 1997, based on newly available transactions data. The paper finds that liquidity is an important determinant of the realized bid-ask spread in all three markets. Modeling correlated market and credit risk infixed incomeportfolios, Barnhill Jr, T. M., & Maxwell, W. F. (2002).Journal of Banking & finance,26(2-3), 347-374. This paper analyses the importance of current risk assessment methodologies. This paper proposes a new approach that relates financial market volatility to firm specific credit risk and integrates interest rate, interest rate spread, and foreign exchange rate risk into one overall fixed income portfolio risk assessment. The methodology is shown to produce reasonable credit transition probabilities, prices for bonds with credit risk, and portfolio value-at-risk measures. Dynamic models forfixed-incomeportfolio management under uncertainty, Zenios, S. A., Holmer, M. R., McKendall, R., & Vassiadou-Zeniou, C. (1998).Journal of Economic Dynamics and Control,22(10), 1517-1541. This paper develops a multi-period dynamic models for fixed-income portfolio management under uncertainty, using multi-stage stochastic programming with recourse. The models integrate the prescriptive stochastic programs with descriptive Monte Carlo simulation models of the term structure of interest rates. Extensive validation experiments are carried out to establish the effectiveness of the models in hedging against uncertainty, and to assess their performance vis--vis single-period models. Socially responsiblefixedincomefunds, Derwall, J., & Koedijk, K. (2009). Journal of Business Finance & Accounting,36(12), 210-229. This paper analyses the growing importance of SRI in the investment area, while focusing on the absence of attempts to evaluate the performance of mutual funds that invest in socially responsible fixedincome securities. This study fills that gap by measuring the performance of socially responsible bond and balanced funds relative to matched samples of conventional funds, over the period 19872003. Asset/liability management under uncertainty forfixed-incomesecurities, Zenios, S. A. (1995). Annals of Operations Research,59(1), 77-97. This paper describes a series of optimization models that take a global view of the asset/liability management problem using interest rate contingencies. The paper shows that portfolios containing mortgage-backed securities provide the typical example of the complexities faced by asset/liability managers in a volatile financial world. Empirical results are used to illustrate the effectiveness of the models, which become increasingly more complex but also afford the manager increasing flexibility. Banks as patientfixed-incomeinvestors, Hanson, S. G., Shleifer, A., Stein, J. C., & Vishny, R. W. (2015). Journal of Financial Economics,117(3), 449-469. This study examines the business model of traditional commercial banks when they compete with shadow banks. The paper shows that traditional banks have a comparative advantage at holding fixed-income assets that have only modest fundamental risk but are illiquid and have substantial transitory price volatility, whereas shadow banks tend to hold relatively liquid assets. Stochastic dedication: Designingfixed incomeportfolios using massively parallel Benders decomposition, Hiller, R. S., & Eckstein, J. (1993). Management Science,39(11), 1422-1438. Drawing on recent developments in discrete time fixed income options theory, this study proposes a stochastic programming procedure, called stochastic dedication, for managing asset/liability portfolios with interest rate contingent claims. The paper takes a novel approach that uses a standard serial simplex method to solve the master problem, but generates scenarios and Benders cuts in a massively parallel manner. It discusses the performance of this implementation and present the results for a simple pension fund immunization problem.