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Constructing a Credit Value Strategy using the BarraOne Optimizer

categories: Portfolio Construction and Optimization, BarraOne, Fixed Income, SERRANO Paulina, general

This document presents a case study describing the specific workflow used to set up the credit value strategy discussed in the paper Navigating Central Bank Intervention in Corporate Bond Markets (Sparks and Sharp 2017). It futher analyzes the impact of the European Central Bank's corporate bond program from the perspective of a hypothetical asset manager pursuing a credit value strategy in euro-denominated corporate debt.


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