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managing a fixed-income portfolio

As already stressed by Markovitz, half a century ago, and many others since then, portfolio management can't ignore risk. This has led to the widely accepted, and implemented, mean-variance models. This lecture will describe an alternative approach that relies on (i) a much more comprehensive description of the uncertainty that takes into account historical as well as market (term structures) information and (ii) on a somewhat crude assessment of the risk aversion of the manager but whose parameters can be (easily) adjusted based on the (projected) distribution of the returns.