Quantitative Management Of Bond Portfolios

Author : Lev Dynkin,Anthony Gould,Jay Hyman,Vadim Konstantinovsky,Bruce Phelps
Publisher : Princeton University Press
Page : 1000 pages
File Size : 42,7 Mb
Release : 2020-05-26
Category : Business & Economics
ISBN : 9780691210612

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

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.

Author : Arik Ben Dor,Lev Dynkin,Jay Hyman,Bruce D. Phelps
Publisher : John Wiley & Sons
Page : 421 pages
File Size : 41,9 Mb
Release : 2011-12-06
Category : Business & Economics
ISBN : 9781118117699

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Quantitative Credit Portfolio Management by Arik Ben Dor,Lev Dynkin,Jay Hyman,Bruce D. Phelps Pdf

An innovative approach to post-crash credit portfolio management Credit portfolio managers traditionally rely on fundamental research for decisions on issuer selection and sector rotation. Quantitative researchers tend to use more mathematical techniques for pricing models and to quantify credit risk and relative value. The information found here bridges these two approaches. In an intuitive and readable style, this book illustrates how quantitative techniques can help address specific questions facing today's credit managers and risk analysts. A targeted volume in the area of credit, this reliable resource contains some of the most recent and original research in this field, which addresses among other things important questions raised by the credit crisis of 2008-2009. Divided into two comprehensive parts, Quantitative Credit Portfolio Management offers essential insights into understanding the risks of corporate bonds—spread, liquidity, and Treasury yield curve risk—as well as managing corporate bond portfolios. Presents comprehensive coverage of everything from duration time spread and liquidity cost scores to capturing the credit spread premium Written by the number one ranked quantitative research group for four consecutive years by Institutional Investor Provides practical answers to difficult question, including: What diversification guidelines should you adopt to protect portfolios from issuer-specific risk? Are you well-advised to sell securities downgraded below investment grade? Credit portfolio management continues to evolve, but with this book as your guide, you can gain a solid understanding of how to manage complex portfolios under dynamic events.

Author : Gueorgui S Konstantinov,Frank J Fabozzi,Joseph Simonian
Publisher : World Scientific
Page : 421 pages
File Size : 50,6 Mb
Release : 2023-10-06
Category : Business & Economics
ISBN : 9789811272585

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Quantitative Global Bond Portfolio Management by Gueorgui S Konstantinov,Frank J Fabozzi,Joseph Simonian Pdf

Quantitative Global Bond Portfolio Management offers a comprehensive discussion of quantitative modelling approaches to managing global bond and currency portfolios. Drawing on practitioner and academic research, as well as the extensive market experience of the authors, the book provides a timely overview of cutting-edge tools applied to the management of global bond portfolios, including in-depth discussions of factor models and optimization techniques. In addition to providing a solid theoretical foundation for global bond portfolio management, the authors focus on the practical implementation of yield curve and currency-driven approaches that can be successfully implemented in actual portfolios. As such, the book will be an indispensable resource to both new and seasoned investors looking to enhance their understanding of global bond markets and strategies.

Author : Frank J. Fabozzi,Paul Wilmott
Publisher : Unknown
Page : 1102 pages
File Size : 41,8 Mb
Release : 2006
Category : Electronic
ISBN : 0470138939

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Advanced Bond Portfolio Management by Frank J. Fabozzi,Paul Wilmott Pdf

Author : Srichander Ramaswamy
Publisher : John Wiley & Sons
Page : 256 pages
File Size : 49,6 Mb
Release : 2004-03-29
Category : Business & Economics
ISBN : 9780471488323

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Managing Credit Risk in Corporate Bond Portfolios by Srichander Ramaswamy Pdf

Expert guidance on managing credit risk in bond portfolios Managing Credit Risk in Corporate Bond Portfolios shows readers howto measure and manage the risks of a corporate bond portfolioagainst its benchmark. This comprehensive guide explores a widerange of topics surrounding credit risk and bond portfolios,including the similarities and differences between corporate andgovernment bond portfolios, yield curve risk, default and creditmigration risk, Monte Carlo simulation techniques, and portfolioselection methods. Srichander Ramaswamy, PhD (Basel, Switzerland), is Head ofInvestment Analysis at the Bank for International Settlements (BIS)in Basel, Switzerland, and Adjunct Professor of Banking andFinance, University of Lausanne.

Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
Page : 228 pages
File Size : 55,7 Mb
Release : 1997-06-15
Category : Business & Economics
ISBN : 1883249287

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Selected Topics in Bond Portfolio Management by Frank J. Fabozzi Pdf

The bond market is one of the largest and most important financial markets in the world. For professional investors, building and managing a portfolio of bonds to achieve above-market returns is a continual challenge. In Selected Topics in Bond Portfolio Management, leading experts discuss state-of-the-art strategies for managing indexed, corporate, high-yield, municipal, and global bond portfolios. Each chapter includes questions and answers to enhance the reader's understanding.

Author : M.A.H. Dempster,Gautam Mitra,Georg Pflug
Publisher : CRC Press
Page : 486 pages
File Size : 51,6 Mb
Release : 2008-12-22
Category : Mathematics
ISBN : 1420081926

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Quantitative Fund Management by M.A.H. Dempster,Gautam Mitra,Georg Pflug Pdf

The First Collection That Covers This Field at the Dynamic Strategic and One-Period Tactical Levels Addressing the imbalance between research and practice, Quantitative Fund Management presents leading-edge theory and methods, along with their application in practical problems encountered in the fund management industry. A Current Snapshot of State-of-the-Art Applications of Dynamic Stochastic Optimization Techniques to Long-Term Financial Planning The first part of the book initially looks at how the quantitative techniques of the equity industry are shifting from basic Markowitz mean-variance portfolio optimization to risk management and trading applications. This section also explores novel aspects of lifetime individual consumption investment problems, fixed-mix portfolio rebalancing allocation strategies, debt management for funding mortgages and national debt, and guaranteed return fund construction. Up-to-Date Overview of Tactical Financial Planning and Risk Management The second section covers nontrivial computational approaches to tactical fund management. This part focuses on portfolio construction and risk management at the individual security or fund manager level over the period up to the next portfolio rebalance. It discusses non-Gaussian returns, new risk-return tradeoffs, and the robustness of benchmarks and portfolio decisions. The Future Use of Quantitative Techniques in Fund Management With contributions from well-known academics and practitioners, this volume will undoubtedly foster the recognition and wider acceptance of stochastic optimization techniques in financial practice.

Author : Richard C. Grinold,Ronald N. Kahn
Publisher : McGraw Hill Professional
Page : 596 pages
File Size : 50,7 Mb
Release : 1999-11-16
Category : Business & Economics
ISBN : 9780071376952

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Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Selecting Superior Returns and Controlling Risk by Richard C. Grinold,Ronald N. Kahn Pdf

"This new edition of Active Portfolio Management continues the standard of excellence established in the first edition, with new and clear insights to help investment professionals." -William E. Jacques, Partner and Chief Investment Officer, Martingale Asset Management. "Active Portfolio Management offers investors an opportunity to better understand the balance between manager skill and portfolio risk. Both fundamental and quantitative investment managers will benefit from studying this updated edition by Grinold and Kahn." -Scott Stewart, Portfolio Manager, Fidelity Select Equity ® Discipline Co-Manager, Fidelity Freedom ® Funds. "This Second edition will not remain on the shelf, but will be continually referenced by both novice and expert. There is a substantial expansion in both depth and breadth on the original. It clearly and concisely explains all aspects of the foundations and the latest thinking in active portfolio management." -Eric N. Remole, Managing Director, Head of Global Structured Equity, Credit Suisse Asset Management. Mathematically rigorous and meticulously organized, Active Portfolio Management broke new ground when it first became available to investment managers in 1994. By outlining an innovative process to uncover raw signals of asset returns, develop them into refined forecasts, then use those forecasts to construct portfolios of exceptional return and minimal risk, i.e., portfolios that consistently beat the market, this hallmark book helped thousands of investment managers. Active Portfolio Management, Second Edition, now sets the bar even higher. Like its predecessor, this volume details how to apply economics, econometrics, and operations research to solving practical investment problems, and uncovering superior profit opportunities. It outlines an active management framework that begins with a benchmark portfolio, then defines exceptional returns as they relate to that benchmark. Beyond the comprehensive treatment of the active management process covered previously, this new edition expands to cover asset allocation, long/short investing, information horizons, and other topics relevant today. It revisits a number of discussions from the first edition, shedding new light on some of today's most pressing issues, including risk, dispersion, market impact, and performance analysis, while providing empirical evidence where appropriate. The result is an updated, comprehensive set of strategic concepts and rules of thumb for guiding the process of-and increasing the profits from-active investment management.

Author : Vineer Bhansali
Publisher : McGraw Hill Professional
Page : 321 pages
File Size : 53,5 Mb
Release : 2010-09-17
Category : Business & Economics
ISBN : 9780071713252

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Bond Portfolio Investing and Risk Management by Vineer Bhansali Pdf

Learn the fine art of risk measurement and control—from a senior member of PIMCO! Bond Portfolio Investing and Risk Management is designed for one purpose—to help you do the most important part of your job. A top player in the upper echelon of PIMCO, Vineer Bhansali understands the nuances and complexities of managing risk in fixed-income investing better than anyone. In this highly practical guide, he puts his years of experience and the latest research to work in order to help you contend with such issues as: Liquidity and stress risks Asset allocation Market anomalies Cross-market relationships Tail-risk measurement Cyclical returns Macroeconomic data Bond Portfolio Investing and Risk Management details the tools used to offset risk, including their advantages and drawbacks, and explains when to use each one. Bhansali provides practical investment techniques to give you a firm handle on the value and risk of a fixed-income instrument.

Author : Frank J. Fabozzi,Lionel Martellini,Philippe Priaulet
Publisher : John Wiley & Sons
Page : 578 pages
File Size : 43,5 Mb
Release : 2006-03-08
Category : Business & Economics
ISBN : 9780471785767

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Advanced Bond Portfolio Management by Frank J. Fabozzi,Lionel Martellini,Philippe Priaulet Pdf

In order to effectively employ portfolio strategies that can control interest rate risk and/or enhance returns, you must understand the forces that drive bond markets, as well as the valuation and risk management practices of these complex securities. In Advanced Bond Portfolio Management, Frank Fabozzi, Lionel Martellini, and Philippe Priaulet have brought together more than thirty experienced bond market professionals to help you do just that. Divided into six comprehensive parts, Advanced Bond Portfolio Management will guide you through the state-of-the-art techniques used in the analysis of bonds and bond portfolio management. Topics covered include: General background information on fixed-income markets and bond portfolio strategies The design of a strategy benchmark Various aspects of fixed-income modeling that will provide key ingredients in the implementation of an efficient portfolio and risk management process Interest rate risk and credit risk management Risk factors involved in the management of an international bond portfolio Filled with in-depth insight and expert advice, Advanced Bond Portfolio Management is a valuable resource for anyone involved or interested in this important industry.

Author : Bernd Scherer,Kenneth Winston,Kenneth James Winston
Publisher : Oxford University Press
Page : 530 pages
File Size : 42,5 Mb
Release : 2012
Category : Business & Economics
ISBN : 9780199553433

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The Oxford Handbook of Quantitative Asset Management by Bernd Scherer,Kenneth Winston,Kenneth James Winston Pdf

This book explores the current state of the art in quantitative investment management across seven key areas. Chapters by academics and practitioners working in leading investment management organizations bring together major theoretical and practical aspects of the field.

Author : Edward E. Qian,Ronald H. Hua,Eric H. Sorensen
Publisher : CRC Press
Page : 462 pages
File Size : 40,7 Mb
Release : 2007-05-11
Category : Business & Economics
ISBN : 9781420010794

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Quantitative Equity Portfolio Management by Edward E. Qian,Ronald H. Hua,Eric H. Sorensen Pdf

Quantitative equity portfolio management combines theories and advanced techniques from several disciplines, including financial economics, accounting, mathematics, and operational research. While many texts are devoted to these disciplines, few deal with quantitative equity investing in a systematic and mathematical framework that is suitable for

Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
Page : 738 pages
File Size : 49,7 Mb
Release : 2001-11-09
Category : Business & Economics
ISBN : 1883249368

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Bond Portfolio Management by Frank J. Fabozzi Pdf

In Bond Portfolio Management, Frank Fabozzi, the leading expert in fixed income securities, explains the latest strategies for maximizing bond portfolio returns. Through in-depth discussions on different types of bonds, valuation principles, and a wide range of strategies, Bond Portfolio Management will prepare you for virtually any bond related event-whether your working on a pension fund or at an insurance company. Key topics include investment objectives of institutional investors, general principles of bond valuation, measuring interest rate risk, and evaluating performance. Bond Portfolio Management is an excellent resource for anyone looking to master one of the world's largest markets, and is a perfect companion to Fabozzi's successful guide-The Handbook of Fixed-Income Securities.

Author : Richard Grinold,Ronald Kahn
Publisher : McGraw Hill Professional
Page : 622 pages
File Size : 40,8 Mb
Release : 1999-10-26
Category : Business & Economics
ISBN : 0070248826

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Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Selecting Superior Returns and Controlling Risk by Richard Grinold,Ronald Kahn Pdf

"This new edition of Active Portfolio Management continues the standard of excellence established in the first edition, with new and clear insights to help investment professionals." -William E. Jacques, Partner and Chief Investment Officer, Martingale Asset Management. "Active Portfolio Management offers investors an opportunity to better understand the balance between manager skill and portfolio risk. Both fundamental and quantitative investment managers will benefit from studying this updated edition by Grinold and Kahn." -Scott Stewart, Portfolio Manager, Fidelity Select Equity ® Discipline Co-Manager, Fidelity Freedom ® Funds. "This Second edition will not remain on the shelf, but will be continually referenced by both novice and expert. There is a substantial expansion in both depth and breadth on the original. It clearly and concisely explains all aspects of the foundations and the latest thinking in active portfolio management." -Eric N. Remole, Managing Director, Head of Global Structured Equity, Credit Suisse Asset Management. Mathematically rigorous and meticulously organized, Active Portfolio Management broke new ground when it first became available to investment managers in 1994. By outlining an innovative process to uncover raw signals of asset returns, develop them into refined forecasts, then use those forecasts to construct portfolios of exceptional return and minimal risk, i.e., portfolios that consistently beat the market, this hallmark book helped thousands of investment managers. Active Portfolio Management, Second Edition, now sets the bar even higher. Like its predecessor, this volume details how to apply economics, econometrics, and operations research to solving practical investment problems, and uncovering superior profit opportunities. It outlines an active management framework that begins with a benchmark portfolio, then defines exceptional returns as they relate to that benchmark. Beyond the comprehensive treatment of the active management process covered previously, this new edition expands to cover asset allocation, long/short investing, information horizons, and other topics relevant today. It revisits a number of discussions from the first edition, shedding new light on some of today's most pressing issues, including risk, dispersion, market impact, and performance analysis, while providing empirical evidence where appropriate. The result is an updated, comprehensive set of strategic concepts and rules of thumb for guiding the process of-and increasing the profits from-active investment management.

Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
Page : 572 pages
File Size : 49,7 Mb
Release : 1997-06-15
Category : Business & Economics
ISBN : 1883249279

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Managing Fixed Income Portfolios by Frank J. Fabozzi Pdf

A contributed handbook on the complexities of portfolio management that includes the most up-to-date findings from leading practitioners in the fixed income securities market.