Quantitative Management of Bond Portfolios

The practice of institutional bond portfolio management has changed markedly since the late 1980s in response to...
$448.28 AUD
$448.28 AUD
SKU: 9780691202778
Product Type: Books
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Author: Lev Dynkin
Format: Paperback
Language: English
Subtotal: $448.28
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Quantitative Management of Bond Portfolios by Dynkin, Lev

Quantitative Management of Bond Portfolios

$448.28

Quantitative Management of Bond Portfolios

$448.28
Author: Lev Dynkin
Format: Paperback
Language: English

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: Lev Dynkin, Anthony Gould, Jay Hyman
Publisher: Princeton University Press
Published: 05/26/2020
Pages: 1000
Binding Type: Paperback
Weight: 3.10lbs
Size: 9.40h x 6.80w x 2.70d
ISBN: 9780691202778

About the Author
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

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