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Quantitative Management of Bond Portfolios
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Quantitative Management of Bond Portfolios (Paperback)

£82.00
Pre-order for despatch on publication.

Synopsis

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.

BusinessFinance & accountingFinanceCorporate financeBusinessFinance & accountingFinanceInvestment & securities Publisher: Princeton University Press Publication Date: 26/05/2020 ISBN-13: 9780691202778  Details: Type: Paperback Format: Books
Availability: Pre-order for despatch on publication. Pre-Order

The authors are with the Lehman Brothers Quantitative Portfolio Strategies Group. Lev Dynkin is a Managing Director and the Group's founder and Global Head. Anthony Gould, Jay Hyman, and Vadim Konstantinovsky are Senior Vice Presidents. Bruce Phelps is a Managing Director.

More books by Lev Dynkin

More books by Anthony Gould

More books by Jay Hyman

More books by Vadim Konstantinovsky

More books by Bruce Phelps

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