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Quantitative management of bond portfolios Lev Dynkin ... y otros.

Contributor(s): Dynkin, Lev, 1957- | Gould, Anthony | Hyman, Jay | Konstantinovsky, Vadim | Phelps, Bruce.
Series: Advances in financial engineering: Princeton Princeton University Press ©2007Description: xix, 978 páginas ilustrado 25 cm.ISBN: 0691128316.Subject(s): Bonds | Portfolio management | Bonos (finanzas) | Administración de cartera (finanzas)DDC classification: 332.6323 Online resources: Table of contents only | Contributor biographical information | Publisher description
Contents:
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.
List(s) this item appears in: Economia
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Libros Libros Biblioteca Central
General 332.6323 / Q1q (Browse shelf) Ej.1 Available 8000022244
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Incluye referencias bibliográficas e índice.

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

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