Cargando…
Quantitative Management of Bond Portfolios /
| Otros Autores: | |
|---|---|
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Princeton :
Princeton University Press,
2007.
|
| Colección: | Book collections on Project MUSE.
|
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- 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.
- 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.