Quantitative management of bond portfolios:
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Princeton, NJ [u.a.]
Princeton Univ. Press
2007
|
| Schriftenreihe: | Advances in financial engineering
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XIX, 978 S. graph. Darst. |
| ISBN: | 0691128316 9780691128313 |
Internformat
MARC
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Datensatz im Suchindex
| _version_ | 1804137659181826048 |
|---|---|
| adam_text | CONTENTS
Foreword by Steve Ross ix
Acknowledgments xi
Note on Authorship xiii
Introduction xv
PART I Empirical Studies of Portfolio Strategies
and Benchmark Design
EVALUATING INVESTMENT STYLE 3
1. Value of Security Selection vs. Asset Allocation in Credit Markets 9
2. Value of Skill in Macro Strategies for Global
Fixed-Income Investing 52
3. Cost of the No-Leverage Constraint in Duration Timing 109
INDEX REPLICATION 121
4. Replicating the Lehman Brothers U.S. Aggregate Index with
Liquid Instruments 133
5. Replicating the Lehman Brothers Global Aggregate Index with
Liquid Instruments 163
6. Tradable Proxy Portfolios for the Lehman Brothers MBS Index 188
7. High Yield Index Replication 215
8. CMBS Index Replication 225
BENCHMARK CUSTOMIZATION 235
9. Evaluating Performance of Long-Horizon Portfolios 241
10. Liability-Based Benchmarks: An Example 283
11. Swap Indices 294
12. Benchmarks for Asset-Swapped Portfolios 317
13. Issuer-Capped and Downgrade-Tolerant U.S. Corporate Indices 327
Viii CONTENTS
MANAGING CREDIT PORTFOLIOS 353
14. Sufficient Diversification in Credit Portfolios 363
15. Return Performance of Investment-Grade Bonds after Distress 410
16. Optimal Credit Allocation for Buy-and-Hold Investors 430
17. A Quick Look at Index Tails 465
18. Are Credit Markets Globally Integrated? 475
MANAGING MORTGAGE PORTFOLIOS 499
19. Managing against the Lehman Brothers MBS Index:
Prices and Returns 503
20. Evaluating Measures of MBS Duration 519
21. MBS Investing over Long Horizons 556
MANAGING CENTRAL BANK RESERVES 579
22. Total Return Management of Central Bank Reserves 583
23. The Prospects of Negative Annual Total Returns in Short-Duration
Treasury Benchmarks 621
PART II Portfolio Management Tools
OPTIMAL RISK BUDGETING WITH SKILL 631
24. Effect of Security Selection Skill on Optimal Sector Allocation 641
25. Risk Budget Allocation to Issuer and Sector Views 655
MULTIFACTOR RISK MODELING AND PERFORMANCE ATTRIBUTION 677
26. The Global Risk Model: A Portfolio Manager s Guide 681
27. The Hybrid Performance Attribution Model 788
PORTFOLIO AND INDEX ANALYTICS 811
28. Insights on Duration and Convexity 817
29. Portfolio Yields and Durations 825
30. Computing Excess Return of Spread Securities 842
31. Currency-Hedged Returns in Fixed-Income Indices 854
32. The Bund-Treasury Trade in Portfolios 862
33. Empirical Duration of Credit Securities 871
34. Duration Times Spread: A New Measure of Spread Risk
for Credit Securities 888
35. Hedging Debt with Equity 935
Index 959
|
| adam_txt |
CONTENTS
Foreword by Steve Ross ix
Acknowledgments xi
Note on Authorship xiii
Introduction xv
PART I Empirical Studies of Portfolio Strategies
and Benchmark Design
EVALUATING INVESTMENT STYLE 3
1. Value of Security Selection vs. Asset Allocation in Credit Markets 9
2. Value of Skill in Macro Strategies for Global
Fixed-Income Investing 52
3. Cost of the No-Leverage Constraint in Duration Timing 109
INDEX REPLICATION 121
4. Replicating the Lehman Brothers U.S. Aggregate Index with
Liquid Instruments 133
5. Replicating the Lehman Brothers Global Aggregate Index with
Liquid Instruments 163
6. Tradable Proxy Portfolios for the Lehman Brothers MBS Index 188
7. High Yield Index Replication 215
8. CMBS Index Replication 225
BENCHMARK CUSTOMIZATION 235
9. Evaluating Performance of Long-Horizon Portfolios 241
10. Liability-Based Benchmarks: An Example 283
11. Swap Indices 294
12. Benchmarks for Asset-Swapped Portfolios 317
13. Issuer-Capped and Downgrade-Tolerant U.S. Corporate Indices 327
Viii CONTENTS
MANAGING CREDIT PORTFOLIOS 353
14. Sufficient Diversification in Credit Portfolios 363
15. Return Performance of Investment-Grade Bonds after Distress 410
16. Optimal Credit Allocation for Buy-and-Hold Investors 430
17. A Quick Look at Index Tails 465
18. Are Credit Markets Globally Integrated? 475
MANAGING MORTGAGE PORTFOLIOS 499
19. Managing against the Lehman Brothers MBS Index:
Prices and Returns 503
20. Evaluating Measures of MBS Duration 519
21. MBS Investing over Long Horizons 556
MANAGING CENTRAL BANK RESERVES 579
22. Total Return Management of Central Bank Reserves 583
23. The Prospects of Negative Annual Total Returns in Short-Duration
Treasury Benchmarks 621
PART II Portfolio Management Tools
OPTIMAL RISK BUDGETING WITH SKILL 631
24. Effect of Security Selection Skill on Optimal Sector Allocation 641
25. Risk Budget Allocation to Issuer and Sector Views 655
MULTIFACTOR RISK MODELING AND PERFORMANCE ATTRIBUTION 677
26. The Global Risk Model: A Portfolio Manager's Guide 681
27. The Hybrid Performance Attribution Model 788
PORTFOLIO AND INDEX ANALYTICS 811
28. Insights on Duration and Convexity 817
29. Portfolio Yields and Durations 825
30. Computing Excess Return of Spread Securities 842
31. Currency-Hedged Returns in Fixed-Income Indices 854
32. The Bund-Treasury Trade in Portfolios 862
33. Empirical Duration of Credit Securities 871
34. Duration Times Spread: A New Measure of Spread Risk
for Credit Securities 888
35. Hedging Debt with Equity 935
Index 959 |
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| index_date | 2024-07-02T20:53:41Z |
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| spelling | Quantitative management of bond portfolios Lev Dynkin ... Princeton, NJ [u.a.] Princeton Univ. Press 2007 XIX, 978 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Advances in financial engineering Obligaties gtt Portfolio-analyse gtt Bonds Portfolio management Dynkin, Lev 1957- Sonstige (DE-588)133291960 oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016504751&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Quantitative management of bond portfolios Obligaties gtt Portfolio-analyse gtt 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 Lev Dynkin ... |
| title_fullStr | Quantitative management of bond portfolios Lev Dynkin ... |
| title_full_unstemmed | Quantitative management of bond portfolios Lev Dynkin ... |
| title_short | Quantitative management of bond portfolios |
| title_sort | quantitative management of bond portfolios |
| topic | Obligaties gtt Portfolio-analyse gtt Bonds Portfolio management |
| topic_facet | Obligaties Portfolio-analyse Bonds Portfolio management |
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