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Quantitative management of bond portfolios /

紀錄類型:	書目-語言資料,印刷品 : 單行本
正題名/作者:	Quantitative management of bond portfolios // Lev Dynkin ... [et al.].
其他作者:	Dynkin, Lev,
出版者:	Princeton :Princeton University Press,c2007.
面頁冊數:	xix, 978 p. :ill. ;24 cm.
叢書名:	Advances in financial engineering
標題:	Bonds. -
ISBN:	0691128316 (hbk.) :
ISBN:	9780691128313 (hbk.)

Quantitative management of bond portfolios /
Quantitative management of bond portfolios /Lev Dynkin ... [et al.]. - Princeton :Princeton University Press,c2007. - xix, 978 p. :ill. ;24 cm. - Advances in financial engineering.

Includes bibliographical references and index.

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.

ISBN: 0691128316 (hbk.) :NT2372

LCCN: 2006016995

Nat. Bib. No.: GBA678695bnb

Nat. Bib. Agency Control No.: 013552662UkSubjects--Topical Terms:

150876
Bonds.

LC Class. No.: HG4651 / .Q36 2007

Dewey Class. No.: 332.63/23

Quantitative management of bond portfolios /
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020 $a 9780691128313 (hbk.)
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050 0 0 $a HG4651 $b .Q36 2007
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245 0 0 $a Quantitative management of bond portfolios / $c Lev Dynkin ... [et al.].
260 $a Princeton : $b Princeton University Press, $c c2007.
300 $a xix, 978 p. : $b ill. ; $c 24 cm.
440 0 $a Advances in financial engineering
504 $a Includes bibliographical references and index.
505 0 $a 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.
505 0 $a 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
505 $a credit securities -- Hedging debt with equity.
650 0 $a Bonds. $3 150876
650 0 $a Portfolio management. $3 147710
700 1 $a Dynkin, Lev, $d 1957- $3 181857