TY - JOUR T1 - Total Return Fixed-Income Portfolio Management JF - The Journal of Portfolio Management SP - 32 LP - 43 DO - 10.3905/jpm.2005.500351 VL - 31 IS - 3 AU - Ulf Herold AU - Raimond Maurer AU - Nader Purschaker Y1 - 2005/04/30 UR - https://pm-research.com/content/31/3/32.abstract N2 - The fixed–income portfolio strategy investigated here is designed to generate positive returns and be completely risk–based; it does not require any forecasts about future yield curve movements. The idea is to control the shortfall risk of a fixed–income portfolio dynamically, allowing portfolio managers to spend their available risk budgets flexibly (taking duration, yield curve, and credit positions). The total risk of the portfolio is adjusted on a daily basis to produce positive total returns (or a total return above a prespecified minimum–return threshold). ER -