We invite you to a presentation by

Prof. Otto Randl,
WU Vienna University of Economics and Business
Department of Finance, Accounting and Statistic
Professor of Endowment Management
Co-Head of Research Institute for Capital Markets (ISK)
 
Prof. Randl presents a paper published in the

Journal of Financial Economics Volume 173, authors Otto Randl, Giorgia Simion, Josef Zechner, November 2025, 104152 

“Pricing and constructing international government bond portfolios”

Where?              RBI Meeting 1 in Welle & Meeting Foyer
When?               March 12, 2026 at 1230-2 pm
Food & Drinks included

Live event with 1 PD / MIFID Credit

Please register by emailing kathrin.schneeweiss@cfaaustria.org.
Room is limited and will be filled on a first-come first-serve basis.

We are looking to our live event hosted by RBI!

Abstract:

This paper derives a stochastic discount factor for currency-hedged government bonds of developed markets by projecting returns onto the unconditional mean–variance efficient (UMVE) portfolio. Priced risks of international bonds differ fundamentally from those of currencies. The UMVE portfolio achieves a Sharpe ratio over twice the average of individual markets, with the market price of risk peaking during crises and periods with high inflation dispersion. While bond returns exhibit a strong factor structure, common sources of variation are only weakly connected to priced risks. Hedging unpriced risks in naive or factor-based strategies significantly improves Sharpe ratios, even under portfolio weight constraints. 

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