Quantitative Management of Bond Portfolios / / Anthony Gould, Lev Dynkin, Bruce Phelps, Vadim Konstantinovsky, Jay Hyman.

• Superior document: Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013
• VerfasserIn: Dynkin, Lev,; Gould, Anthony,; Hyman, Jay,; Phelps, Bruce,
• MitwirkendeR: Ross, Steve,
• Place / Publishing House: Princeton, NJ : : Princeton University Press, , [2020]; ©2007
• Year of Publication: 2020
• Language: English
• Series: Advances in Financial Engineering
• Physical Description: 1 online resource (1000 p.) :; 150 line illus.
• Other title: Frontmatter --; CONTENTS --; Foreword --; Acknowledgments --; Note on Authorship --; Introduction --; PART I. Empirical Studies of Portfolio Strategies and Benchmark Design --; EVALUATING INVESTMENT STYLE --; INDEX REPLICATION --; BENCHMARK CUSTOMIZATION --; MANAGING CREDIT PORTFOLIOS --; MANAGING MORTGAGE PORTFOLIOS --; MANAGING CENTRAL BANK RESERVES --; PART II. Portfolio Management Tools --; OPTIMAL RISK BUDGETING WITH SKILL --; MULTIFACTOR RISK MODELING AND PERFORMANCE ATTRIBUTION --; PORTFOLIO AND INDEX ANALYTICS --; Index
• Format: Mode of access: Internet via World Wide Web.
• ISBN: 9780691210612; 9783110442502
• DOI: 10.1515/9780691210612?locatt=mode:legacy
• Access: restricted access
• Hierarchical level: Monograph
• Statement of Responsibility: Anthony Gould, Lev Dynkin, Bruce Phelps, Vadim Konstantinovsky, Jay Hyman.

The practice of institutional bond portfolio management has changed markedly since the late 1980s in response to new financial instruments, investment methodologies, and improved analytics. Investors are looking for a more disciplined, quantitative approach to asset management. Here, five top authorities from a leading Wall Street firm provide practical solutions and feasible methodologies based on investor inquiries. While taking a quantitative approach, they avoid complex mathematical derivations, making the book accessible to a wide audience, including portfolio managers, plan sponsors, research analysts, risk managers, academics, students, and anyone interested in bond portfolio management. The book covers a range of subjects of concern to fixed-income portfolio managers--investment style, benchmark replication and customization, managing credit and mortgage portfolios, managing central bank reserves, risk optimization, and performance attribution. The first part contains empirical studies of security selection versus asset allocation, index replication with derivatives and bonds, optimal portfolio diversification, and long-horizon performance of assets. The second part covers portfolio management tools for risk budgeting, bottom-up risk modeling, performance attribution, innovative measures of risk sensitivities, and hedging risk exposures. A first-of-its-kind publication from a team of practitioners at the front lines of financial thinking, this book presents a winning combination of mathematical models, intuitive examples, and clear language.