Quantitative Management of Bond Portfolios

Name: Quantitative Management of Bond Portfolios
Brand: Princeton University Press
Price: 148.99 EUR
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Lev Dynkin Anthony Gould Jay Hyman Vadim Konstantinovsky Bruce Phelps(Autor*in)

Princeton University Press

1. Auflage

Erschienen am 26. Mai 2020

1000 Seiten

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978-0-691-21061-2 (ISBN)

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Inhalt

Cover
Title
Copyright
Dedication
CONTENTS
Foreword
Acknowledgments
Note on Authorship
Introduction
PART I Empirical Studies of Portfolio Strategies and Benchmark Design
EVALUATING INVESTMENT STYLE
1. Value of Security Selection vs. Asset Allocation in Credit Markets
2. Value of Skill in Macro Strategies for Global Fixed-Income Investing
3. Cost of the No-Leverage Constraint in Duration Timing
INDEX REPLICATION
4. Replicating the Lehman Brothers U.S. Aggregate Index with Liquid Instruments
5. Replicating the Lehman Brothers Global Aggregate Index with Liquid Instruments
6. Tradable Proxy Portfolios for the Lehman Brothers MBS Index
7. High Yield Index Replication
8. CMBS Index Replication
BENCHMARK CUSTOMIZATION
9. Evaluating Performance of Long-Horizon Portfolios
10. Liability-Based Benchmarks: An Example
11. Swap Indices
12. Benchmarks for Asset-Swapped Portfolios
13. Issuer-Capped and Downgrade-Tolerant U.S. Corporate Indices
MANAGING CREDIT PORTFOLIOS
14. Sufficient Diversification in Credit Portfolios
15. Return Performance of Investment-Grade Bonds after Distress
16. Optimal Credit Allocation for Buy-and-Hold Investors
17. A Quick Look at Index Tails
18. Are Credit Markets Globally Integrated?
MANAGING MORTGAGE PORTFOLIOS
19. Managing against the Lehman Brothers MBS Index: Prices and Returns
20. Evaluating Measures of MBS Duration
21. MBS Investing over Long Horizons
MANAGING CENTRAL BANK RESERVES
22. Total Return Management of Central Bank Reserves
23. The Prospects of Negative Annual Total Returns in Short-Duration Treasury Benchmarks
PART II Portfolio Management Tools
OPTIMAL RISK BUDGETING WITH SKILL
24. Effect of Security Selection Skill on Optimal Sector Allocation
25. Risk Budget Allocation to Issuer and Sector Views
MULTIFACTOR RISK MODELING AND PERFORMANCE ATTRIBUTION
26. The Global Risk Model: A Portfolio Manager's Guide
27. The Hybrid Performance Attribution Model
PORTFOLIO AND INDEX ANALYTICS
28. Insights on Duration and Convexity
29. Portfolio Yields and Durations
30. Computing Excess Return of Spread Securities
31. Currency-Hedged Returns in Fixed-Income Indices
32. The Bund-Treasury Trade in Portfolios
33. Empirical Duration of Credit Securities
34. Duration Times Spread: A New Measure of Spread Risk for Credit Securities
35. Hedging Debt with Equity
Index

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