Quantitative management of bond portfolios
Value of security selection vs. asset allocation in credit markets -- Value of skill in macro strategies for global fixed income investing -- Cost of the no-leverage constraint in duration timing : index replication -- Replicating the Lehman Brothers U.S. aggregate index with liquid instruments -- R...
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| Weitere Verfasser: | , , , , |
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| Format: | UnknownFormat |
| Sprache: | eng |
| Veröffentlicht: |
Princeton, NY u.a.
Princeton Univ. Press
c 2007
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| Schriftenreihe: | Advances in financial engineering
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| Schlagworte: | |
| Online Zugang: | Inhaltsverzeichnis Contributor biographical information Publisher description |
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Tag hinzufügen | Zusammenfassung: | Value of security selection vs. asset allocation in credit markets -- Value of skill in macro strategies for global fixed income investing -- Cost of the no-leverage constraint in duration timing : index replication -- 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 : benchmark customization -- Evaluating performance of long-horizon portfolios -- Liability-based benchmarks -- Swap indices -- Benchmarks for asset swapped portfolios -- Issuer-capped and downgrade-tolerant U.S. corporate indices : strategies for managing credit portfolios -- 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? : strategies for managing mortgage portfolios -- Managing against the Lehman Brothers MBS index : prices and returns -- Evaluating measures of MBS duration -- MBS investing over long horizons : strategies for managing central bank reserves -- Total return management of central bank reserves -- The prospects of negative annual total returns in short duration treasury benchmarks -- Effect of security selection skill on optimal sector allocation -- Risk budget allocation to issuer and sector views -- Multi-factor risk modeling and performance attribution -- 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 hedging in fixed income portfolios -- The bund-treasury trade in portfolios -- Empirical duration of credit securities -- DTS (duration times spread) : a new measure of spread risk for credit securities -- Hedging debt with equity |
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| Beschreibung: | Includes bibliographical references and index |
| Beschreibung: | XIX, 978 S. graph. Darst. |
| ISBN: | 0691128316 0-691-12831-6 9780691128313 978-0-691-12831-3 |