| 000 | 03556cam a22003734a 4500 | ||
|---|---|---|---|
| 003 | CO-NeUS | ||
| 005 | 20180209102715.0 | ||
| 008 | 060522s2007 njua b 001 0 eng | ||
| 020 | _a0691128316 | ||
| 024 | 3 | _a9780691128313 | |
| 040 |
_aDLC _cDLC _dBAKER _dUKM _dC#P _dCO-NeUS _bEspañol |
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| 041 | _aeng | ||
| 082 | 0 | 0 |
_a332.6323 _222 _bQ1q |
| 245 | 0 | 0 |
_aQuantitative management of bond portfolios _cLev Dynkin ... y otros. |
| 264 |
_aPrinceton _bPrinceton University Press _c©2007. |
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| 300 |
_axix, 978 páginas _bilustrado _c25 cm. |
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| 490 | 1 |
_aAdvances in financial engineering _994578 |
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| 504 | _aIncluye referencias bibliográficas e índice. | ||
| 505 | 0 | 0 |
_gPt. I. _tEmpirical studies of portfolio strategies and benchmark design -- _g1. _tValue of security selection vs. asset allocation in credit markets -- _g2. _tValue of skill in macro strategies for global fixed-income investing -- _g3. _tCost of the non-leverage constraint in duration timing -- _g4. _tReplicating the Lehman Brothers U.S. aggregate index with liquid instruments -- _g5. _tReplicating the Lehman Brothers global aggregate index with liquid instruments -- _g6. _tTradable proxy portfolios for the Lehman Brothers MBS index -- _g7. _tHigh yield index replication -- _g8. _tCMBS index replication -- _g9. _tEvaluating performance of long-horizon portfolios -- _g10. _tLiability-based benchmarks : an example -- _g11. _tSwap indices -- _g12. _tBenchmarks for asset-swapped portfolios -- _g13. _tIssuer-capped and downgrade-tolerant U.S. corporate indices -- _g14. _tSufficient diversification in credit portfolios -- _g15. _tReturn performance of investment-grade bonds after distress -- _g16. _tOptimal credit allocation for buy-and-hold investors -- _g17. _tA quick look at index tails -- _g18. _tAre credit markets globally integrated? -- _g19. _tManaging against the Lehman Brothers MBS index : prices and returns -- _g20. _tEvaluating measures of MBS duration -- _g21. _tMBS investing over long horizons -- _g22. _tTotal return management of Central Bank Reserves -- _g23. _tThe prospects of negative annual total returns in short-duration treasury benchmarks -- _gPt. II. _tPortfolio management tools -- _g24. _tEffect of security selection skill on optimal sector allocation -- _g25. _tRisk budget allocation to issuer and sector views -- _g26. _tThe global risk model : a portfolio manager's guide -- _g27. _tThe hybrid performance attribution model -- _g28. _tInsights on duration and convexity -- _g29. _tPortfolio yields and durations -- _g30. _tComputing excess return of spread securities -- _g31. _tCurrency-hedged returns in fixed-income indices -- _g32. _tThe bund-treasury trade in portfolios -- _g33. _tEmpirical duration of credit securities -- _g34. _tDuration times spread : a new measure of spread risk for credit securities -- _g35. _tHedging debt with equity. |
| 650 | 0 |
_aBonds. _9102012 |
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| 650 | 0 |
_aPortfolio management _9128158 |
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| 650 | 0 |
_aBonos (finanzas) _9102014 |
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| 650 | 0 |
_aAdministración de cartera (finanzas) _999438 |
|
| 700 | 1 |
_aDynkin, Lev _d1957- _941064 |
|
| 700 | 1 |
_aGould, Anthony _947408 |
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| 700 | 1 |
_aHyman, Jay _950652 |
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| 700 | 1 |
_aKonstantinovsky, Vadim _952628 |
|
| 700 | 1 |
_aPhelps, Bruce _974753 |
|
| 830 | 0 |
_aAdvances in financial engineering _994578 |
|
| 856 | 4 | 1 |
_3Table of contents only _uhttp://www.loc.gov/catdir/toc/ecip0615/2006016995.html |
| 856 | 4 | 2 |
_3Contributor biographical information _uhttp://www.loc.gov/catdir/enhancements/fy0654/2006016995-b.html |
| 856 | 4 | 2 |
_3Publisher description _uhttp://www.loc.gov/catdir/enhancements/fy0654/2006016995-d.html |
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| 999 |
_c35677 _d35677 |
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