Quantitative management of bond portfolios
Lev Dynkin ... y otros.
- xix, 978 páginas ilustrado 25 cm.
- Advances in financial engineering .
- Advances in financial engineering .
Incluye referencias bibliográficas e índice.
Empirical studies of portfolio strategies and benchmark design -- Value of security selection vs. asset allocation in credit markets -- Value of skill in macro strategies for global fixed-income investing -- Cost of the non-leverage constraint in duration timing -- Replicating the Lehman Brothers U.S. aggregate index with liquid instruments -- Replicating the Lehman Brothers global aggregate index with liquid instruments -- Tradable proxy portfolios for the Lehman Brothers MBS index -- High yield index replication -- CMBS index replication -- Evaluating performance of long-horizon portfolios -- Liability-based benchmarks : an example -- Swap indices -- Benchmarks for asset-swapped portfolios -- Issuer-capped and downgrade-tolerant U.S. corporate indices -- Sufficient diversification in credit portfolios -- Return performance of investment-grade bonds after distress -- Optimal credit allocation for buy-and-hold investors -- A quick look at index tails -- Are credit markets globally integrated? -- Managing against the Lehman Brothers MBS index : prices and returns -- Evaluating measures of MBS duration -- MBS investing over long horizons -- Total return management of Central Bank Reserves -- The prospects of negative annual total returns in short-duration treasury benchmarks -- Portfolio management tools -- Effect of security selection skill on optimal sector allocation -- Risk budget allocation to issuer and sector views -- The global risk model : a portfolio manager's guide -- The hybrid performance attribution model -- Insights on duration and convexity -- Portfolio yields and durations -- Computing excess return of spread securities -- Currency-hedged returns in fixed-income indices -- The bund-treasury trade in portfolios -- Empirical duration of credit securities -- Duration times spread : a new measure of spread risk for credit securities -- Hedging debt with equity. Pt. I. 1. 2. 3. 4. 5. 6. 7. 8. 9. 10. 11. 12. 13. 14. 15. 16. 17. 18. 19. 20. 21. 22. 23. Pt. II. 24. 25. 26. 27. 28. 29. 30. 31. 32. 33. 34. 35.
0691128316
9780691128313
Bonds.
Portfolio management
Bonos (finanzas)
Administración de cartera (finanzas)
332.6323 / Q1q
Incluye referencias bibliográficas e índice.
Empirical studies of portfolio strategies and benchmark design -- Value of security selection vs. asset allocation in credit markets -- Value of skill in macro strategies for global fixed-income investing -- Cost of the non-leverage constraint in duration timing -- Replicating the Lehman Brothers U.S. aggregate index with liquid instruments -- Replicating the Lehman Brothers global aggregate index with liquid instruments -- Tradable proxy portfolios for the Lehman Brothers MBS index -- High yield index replication -- CMBS index replication -- Evaluating performance of long-horizon portfolios -- Liability-based benchmarks : an example -- Swap indices -- Benchmarks for asset-swapped portfolios -- Issuer-capped and downgrade-tolerant U.S. corporate indices -- Sufficient diversification in credit portfolios -- Return performance of investment-grade bonds after distress -- Optimal credit allocation for buy-and-hold investors -- A quick look at index tails -- Are credit markets globally integrated? -- Managing against the Lehman Brothers MBS index : prices and returns -- Evaluating measures of MBS duration -- MBS investing over long horizons -- Total return management of Central Bank Reserves -- The prospects of negative annual total returns in short-duration treasury benchmarks -- Portfolio management tools -- Effect of security selection skill on optimal sector allocation -- Risk budget allocation to issuer and sector views -- The global risk model : a portfolio manager's guide -- The hybrid performance attribution model -- Insights on duration and convexity -- Portfolio yields and durations -- Computing excess return of spread securities -- Currency-hedged returns in fixed-income indices -- The bund-treasury trade in portfolios -- Empirical duration of credit securities -- Duration times spread : a new measure of spread risk for credit securities -- Hedging debt with equity. Pt. I. 1. 2. 3. 4. 5. 6. 7. 8. 9. 10. 11. 12. 13. 14. 15. 16. 17. 18. 19. 20. 21. 22. 23. Pt. II. 24. 25. 26. 27. 28. 29. 30. 31. 32. 33. 34. 35.
0691128316
9780691128313
Bonds.
Portfolio management
Bonos (finanzas)
Administración de cartera (finanzas)
332.6323 / Q1q