书目详细信息
： QUANTITATIVE MANAGEMENT OF BOND PORTFOLIOS /
书目信息 机读格式(MARC)
| ISBN： | 0691128316 |
|---|---|
| ISBN： | 9780691128313 (hardcover : alk. paper) |
| 题名： | Quantitative management of bond portfolios / by Lev Dynkin ... [et al.]. |
| 索书号： | F830.91/D994E |
| 出版发行项： | Princeton : Princeton University Press, c2007. |
| 载体形态： | 978 p. : 24 cm. |
| 丛编说明： | Advances in financial engineering |
| 书目附注： | Includes bibliographical references and index. |
| 格式化内容附注： | 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 credit securities -- Hedging debt with equity. |