Advanced fixed income portfolio management: the state of the art
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Chicago, Ill. u.a.
Probus Publ.
1994
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | IX, 360 S. graph. Darst. |
| ISBN: | 1557385688 |
Internformat
MARC
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| 245 | 1 | 0 | |a Advanced fixed income portfolio management |b the state of the art |c Frank J. Fabozzi ; Gifford Fong |
| 264 | 1 | |a Chicago, Ill. u.a. |b Probus Publ. |c 1994 | |
| 300 | |a IX, 360 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
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| 650 | 4 | |a Portfolio management | |
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Datensatz im Suchindex
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|---|---|
| adam_text | Table of Contents
Acknowledgments ix
Chapter 1 Introduction 1
Overview of the Investment Management Process 1
Overview of Fixed Income Portfolio Management 5
Historical Perspective 10
~~~ i Overview of Book 11
! Section I Risks Associated with Investing in a
i __^ Fixed Income Security and a
( Fixed Income Portfolio
Chapter! Sources of Risk and Return 17
Sources of Return from Holding a Bond to Maturity 18
Marginal Impact on Returns for Short Term
Investment Horizons 19
Factors That Have Historically Driven Returns 24
Overview of Risks Associated with Investing in
Fixed Income Securities 28
Portfolio Risk Characteristics 32
Summary 35
Chapter 3 Measuring Interest Rate Risk and
Yield Curve Risk 37
Price Volatility Characteristics of Option Free Bonds 37
Measuring Interest Rate Risk 41
Yield Curve Risk 53
v
vi Table of Contents
Interest Rate Risk for Bonds with Embedded Options 57
Duration and Convexity for Any Bond 58
Summary 61
Section II Techniques for Valuing Fixed Income Securities
Chapter 4 Bond Valuation and Term Structure Analysis 65
Term Structure Analysis 66
Term Structure Modeling 70
Volatility as a Determinant of Risk and Return 72
A Stochastic Volatility Term Structure 81
Summary 87
Chapter 5 Contingent Claims Analysis 91
Assumptions in Contingent Claims Models 92
The Valuation Model 93
Valuing Callable Corporate Bonds 98
Applications 102
Chapter 6 Valuation of Mortgage Backed Securities 103
Mortgages 104
Mortgage Backed Securities 107
Conventional Valuation Models 110
Contingent Claims Approach 116
Summary 122
Section III Portfolio Management Strategies
Chapter 7 Active Strategies 127
Overview of the Active Management Process 128
Techniques of Active Management 130
Portfolio Optimization 153
Other Active Strategies or Tactics 154
Summary 156
Chapter 8 Indexing 159
Factors to Consider in Selecting an Index 161
Bond Indexes 162
Diversification and Portfolio Size 163
Table of Contents vii
Tracking an Index 164
Logistical Problems in Implementing an
Indexing Strategy 172
Enhanced Indexing 172
Summary 173
Chapter 9 Immunization, Cash Flow Matching, and
Combination Strategies 175
Classical Single Period Immunization 176
Extensions of Classical Immunization Theory 187
Risk Minimization for Immunized Portfolios 192
Multiple Liability Immunization 195
Immunization for General Cash Flows 199
Return Maximization for Immunized Portfolios 200
^Cash Flow Matching 201
Application Considerations 207
Combination Strategies 209
Chapter 10 Strategies with Interest Rate Derivatives 215
Interest Rate Futures 215
Interest Rate Swaps 232
Interest Rate Options 237
Summary 242
Chapter 11 Asset Allocation Models 243
Two Asset Class Allocation Model 245
N Asset Class Allocation Model 249
Extension of the Asset Allocation Model to
Risk of Loss 252
Extension of the Asset Allocation Model to
Multiple Scenarios 253
Extension of Model to Short Term/Long Term
Asset Allocation 264
Asset Allocation Models with Liabilities Considered 266
Using Futures to Implement an Asset
Allocation Decision 272
Forecast Free Asset Allocation 273
Summary 278
viii Table of Contents
Chapter 12 Bond Performance and Attribution Analysis 281
Fundamental Issues in the Analysis of Returns 282
Performance Measurement 283
Return Attribution Analysis 295
Summary 311
Section IV Technical Appendices
Appendix A Term Structure Modeling 317
Appendix B Derivation of Risk Immunization Measures 325
Appendix C Valuation and Risk Measures for
Interest Rate Futures 331
The Futures Equation: Last Trading Day 331
The Futures Equation: Prior Days 333
The Option Values 334
Duration and Convexity 335
Appendix D Mathematical Programming Techniques 337
The General Mathematical Programming
Problem in Portfolio Management 337
Linear Programming Formulation
for Portfolio Management Problems 338
Quadratic Programming Formulation
for Portfolio Management Problems 340
Appendix E Risk of Loss Ana lysis for Asset
Allocation Model 343
Appendix F Multiple Scenario Extension for
Asset Allocation Model 347
Index 351
|
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| dewey-ones | 332 - Financial economics |
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| discipline | Wirtschaftswissenschaften |
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| id | DE-604.BV009982999 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T17:44:21Z |
| institution | BVB |
| isbn | 1557385688 |
| language | English |
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| physical | IX, 360 S. graph. Darst. |
| publishDate | 1994 |
| publishDateSearch | 1994 |
| publishDateSort | 1994 |
| publisher | Probus Publ. |
| record_format | marc |
| spelling | Fabozzi, Frank J. 1948- Verfasser (DE-588)129772054 aut Advanced fixed income portfolio management the state of the art Frank J. Fabozzi ; Gifford Fong Chicago, Ill. u.a. Probus Publ. 1994 IX, 360 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Fixed-income securities Portfolio management Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Festverzinsliches Wertpapier (DE-588)4121262-9 gnd rswk-swf Festverzinsliches Wertpapier (DE-588)4121262-9 s Portfoliomanagement (DE-588)4115601-8 s DE-604 Fong, Gifford Verfasser aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=006615591&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Fabozzi, Frank J. 1948- Fong, Gifford Advanced fixed income portfolio management the state of the art Fixed-income securities Portfolio management Portfoliomanagement (DE-588)4115601-8 gnd Festverzinsliches Wertpapier (DE-588)4121262-9 gnd |
| subject_GND | (DE-588)4115601-8 (DE-588)4121262-9 |
| title | Advanced fixed income portfolio management the state of the art |
| title_auth | Advanced fixed income portfolio management the state of the art |
| title_exact_search | Advanced fixed income portfolio management the state of the art |
| title_full | Advanced fixed income portfolio management the state of the art Frank J. Fabozzi ; Gifford Fong |
| title_fullStr | Advanced fixed income portfolio management the state of the art Frank J. Fabozzi ; Gifford Fong |
| title_full_unstemmed | Advanced fixed income portfolio management the state of the art Frank J. Fabozzi ; Gifford Fong |
| title_short | Advanced fixed income portfolio management |
| title_sort | advanced fixed income portfolio management the state of the art |
| title_sub | the state of the art |
| topic | Fixed-income securities Portfolio management Portfoliomanagement (DE-588)4115601-8 gnd Festverzinsliches Wertpapier (DE-588)4121262-9 gnd |
| topic_facet | Fixed-income securities Portfolio management Portfoliomanagement Festverzinsliches Wertpapier |
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