Cargando…
Quantitative management of bond portfolios /
The practice of institutional bond portfolio management has changed markedly since the late 1980s in response to new financial instruments, investment methodologies, and improved analytics. Investors are looking for a more disciplined, quantitative approach to asset management. Here, five top author...
| Clasificación: | Libro Electrónico |
|---|---|
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Princeton :
Princeton University Press,
©2007.
|
| Colección: | Advances in financial engineering.
|
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
| LEADER | 00000cam a2200000 i 4500 | ||
|---|---|---|---|
| 001 | JSTOR_on1155812129 | ||
| 003 | OCoLC | ||
| 005 | 20231005004200.0 | ||
| 006 | m o d | ||
| 007 | cr cnu---unuuu | ||
| 008 | 200529s2007 njua ob 001 0 eng d | ||
| 010 | |a 2021698786 | ||
| 040 | |a JSTOR |b eng |e rda |e pn |c JSTOR |d N$T |d YDX |d UX1 |d EBLCP |d P@U |d OCLCQ |d OCLCO |d S2H |d RDF |d DLC |d OCLCO |d OCLCQ |d YWS |d INARC |d OCLCQ |d QGK | ||
| 015 | |a GBA678695 |2 bnb | ||
| 016 | 7 | |a 013552662 |2 Uk | |
| 019 | |a 1156230841 |a 1157988657 |a 1160024169 |a 1175638670 |a 1393053769 | ||
| 020 | |a 9780691210612 |q (electronic bk.) | ||
| 020 | |a 0691210616 |q (electronic bk.) | ||
| 020 | |a 9780691202778 | ||
| 020 | |a 069120277X | ||
| 020 | |z 0691128316 | ||
| 020 | |z 9780691128313 | ||
| 029 | 1 | |a AU@ |b 000067253943 | |
| 035 | |a (OCoLC)1155812129 |z (OCoLC)1156230841 |z (OCoLC)1157988657 |z (OCoLC)1160024169 |z (OCoLC)1175638670 |z (OCoLC)1393053769 | ||
| 037 | |a 22573/ctvvxfsk0 |b JSTOR | ||
| 050 | 4 | |a HG4651 |b .Q36 2007eb | |
| 072 | 7 | |a BUS |x 027000 |2 bisacsh | |
| 072 | 7 | |a BUS |x 042000 |2 bisacsh | |
| 082 | 0 | 4 | |a 332.63/23 |2 22 |
| 084 | |a 85.30 |2 bcl | ||
| 084 | |a QK 810 |2 rvk | ||
| 049 | |a UAMI | ||
| 245 | 0 | 0 | |a Quantitative management of bond portfolios / |c Lev Dynkin [and others]. |
| 264 | 1 | |a Princeton : |b Princeton University Press, |c ©2007. | |
| 300 | |a 1 online resource (xix, 978 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a Advances in financial engineering | |
| 504 | |a Includes bibliographical references and index. | ||
| 505 | 0 | |a 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 : 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? : managing mortgage portfolios -- Managing against the Lehman Brothers MBS index : prices and returns -- Evaluating measures of MBS duration -- MBS investing over long horizons : 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 -- Multifactor 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-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. | |
| 505 | 0 | |a 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. | |
| 588 | 0 | |a Print version record. | |
| 520 | |a The practice of institutional bond portfolio management has changed markedly since the late 1980s in response to new financial instruments, investment methodologies, and improved analytics. Investors are looking for a more disciplined, quantitative approach to asset management. Here, five top authorities from a leading Wall Street firm provide practical solutions and feasible methodologies based on investor inquiries. While taking a quantitative approach, they avoid complex mathematical derivations, making the book accessible to a wide audience, including portfolio managers, plan sponsors, research analysts, risk managers, academics, students, and anyone interested in bond portfolio management. The book covers a range of subjects of concern to fixed-income portfolio managers--investment style, benchmark replication and customization, managing credit and mortgage portfolios, managing central bank reserves, risk optimization, and performance attribution. The first part contains empirical studies of security selection versus asset allocation, index replication with derivatives and bonds, optimal portfolio diversification, and long-horizon performance of assets. The second part covers portfolio management tools for risk budgeting, bottom-up risk modeling, performance attribution, innovative measures of risk sensitivities, and hedging risk exposures. A first-of-its-kind publication from a team of practitioners at the front lines of financial thinking, this book presents a winning combination of mathematical models, intuitive examples, and clear language. | ||
| 590 | |a JSTOR |b Books at JSTOR All Purchased | ||
| 590 | |a JSTOR |b Books at JSTOR Evidence Based Acquisitions | ||
| 590 | |a JSTOR |b Books at JSTOR Demand Driven Acquisitions (DDA) | ||
| 650 | 0 | |a Bonds. | |
| 650 | 0 | |a Portfolio management. | |
| 650 | 6 | |a Obligations (Valeurs) | |
| 650 | 6 | |a Gestion de portefeuille. | |
| 650 | 7 | |a bonds (negotiable instruments) |2 aat | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Finance. |2 bisacsh | |
| 650 | 7 | |a Bonds. |2 fast |0 (OCoLC)fst00835887 | |
| 650 | 7 | |a Portfolio management. |2 fast |0 (OCoLC)fst01072072 | |
| 650 | 1 | 7 | |a Obligaties. |2 gtt |
| 650 | 1 | 7 | |a Portfolio-analyse. |2 gtt |
| 655 | 4 | |a Electronic books. | |
| 700 | 1 | |a Dynkin, Lev, |d 1957- | |
| 776 | 0 | 8 | |i Print version: |t Quantitative management of bond portfolios. |d Princeton : Princeton University Press, ©2007 |z 0691128316 |w (DLC) 2006016995 |w (OCoLC)70060959 |
| 830 | 0 | |a Advances in financial engineering. | |
| 856 | 4 | 0 | |u https://jstor.uam.elogim.com/stable/10.2307/j.ctvw04cxt |z Texto completo |
| 938 | |a ProQuest Ebook Central |b EBLB |n EBL6208750 | ||
| 938 | |a EBSCOhost |b EBSC |n 2359626 | ||
| 938 | |a Project MUSE |b MUSE |n muse83312 | ||
| 938 | |a YBP Library Services |b YANK |n 16645126 | ||
| 938 | |a Internet Archive |b INAR |n isbn_9780691128313 | ||
| 994 | |a 92 |b IZTAP | ||