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...
Gespeichert in:
| Hauptverfasser: | , , , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Princeton, NJ
Princeton University Press
[2020]
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| Schriftenreihe: | Advances in Financial Engineering
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| Schlagworte: | |
| Online-Zugang: | FAB01 FAW01 FHA01 FKE01 FLA01 UPA01 UBG01 FCO01 URL des Erstveröffentlichers |
| Zusammenfassung: | 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 |
| Beschreibung: | Description based on online resource; title from PDF title page (publisher's Web site, viewed 26. Aug 2020) |
| Beschreibung: | 1 online resource (1000 pages) 150 line illus |
| ISBN: | 9780691210612 |
| DOI: | 10.1515/9780691210612 |
Internformat
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| 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 | ||
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Datensatz im Suchindex
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| author | Dynkin, Lev Gould, Anthony Hyman, Jay Phelps, Bruce |
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| dewey-full | 332.63/23 |
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| dewey-ones | 332 - Financial economics |
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| discipline | Wirtschaftswissenschaften |
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| id | DE-604.BV046887194 |
| illustrated | Not Illustrated |
| index_date | 2024-07-03T15:19:55Z |
| indexdate | 2024-07-10T08:56:36Z |
| institution | BVB |
| isbn | 9780691210612 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-032297088 |
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| physical | 1 online resource (1000 pages) 150 line illus |
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| publishDate | 2020 |
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| publisher | Princeton University Press |
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| series2 | Advances in Financial Engineering |
| spelling | Dynkin, Lev Verfasser aut Quantitative Management of Bond Portfolios Bruce Phelps, Vadim Konstantinovsky, Anthony Gould, Jay Hyman, Lev Dynkin Princeton, NJ Princeton University Press [2020] © 2007 1 online resource (1000 pages) 150 line illus txt rdacontent c rdamedia cr rdacarrier Advances in Financial Engineering Description based on online resource; title from PDF title page (publisher's Web site, viewed 26. Aug 2020) 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 In English BUSINESS & ECONOMICS / Finance / General bisacsh Bonds Portfolio management Gould, Anthony aut Hyman, Jay aut Phelps, Bruce aut https://doi.org/10.1515/9780691210612 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Dynkin, Lev Gould, Anthony Hyman, Jay Phelps, Bruce Quantitative Management of Bond Portfolios BUSINESS & ECONOMICS / Finance / General bisacsh Bonds Portfolio management |
| title | Quantitative Management of Bond Portfolios |
| title_auth | Quantitative Management of Bond Portfolios |
| title_exact_search | Quantitative Management of Bond Portfolios |
| title_exact_search_txtP | Quantitative Management of Bond Portfolios |
| title_full | Quantitative Management of Bond Portfolios Bruce Phelps, Vadim Konstantinovsky, Anthony Gould, Jay Hyman, Lev Dynkin |
| title_fullStr | Quantitative Management of Bond Portfolios Bruce Phelps, Vadim Konstantinovsky, Anthony Gould, Jay Hyman, Lev Dynkin |
| title_full_unstemmed | Quantitative Management of Bond Portfolios Bruce Phelps, Vadim Konstantinovsky, Anthony Gould, Jay Hyman, Lev Dynkin |
| title_short | Quantitative Management of Bond Portfolios |
| title_sort | quantitative management of bond portfolios |
| topic | BUSINESS & ECONOMICS / Finance / General bisacsh Bonds Portfolio management |
| topic_facet | BUSINESS & ECONOMICS / Finance / General Bonds Portfolio management |
| url | https://doi.org/10.1515/9780691210612 |
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