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Bond Portfolio Management

Autor Frank J Fabozzi
en Limba Engleză Hardback – 9 noi 2001
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.
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Specificații

ISBN-13: 9781883249366
ISBN-10: 1883249368
Pagini: 728
Dimensiuni: 161 x 240 x 43 mm
Greutate: 1.25 kg
Ediția:2nd edition
Editura: Wiley
Locul publicării:Hoboken, United States

Cuprins

1. Introduction.

2. Investment Objectives of Institutional Investors.

SECTION I: THE INSTRUMENTS.

3. Bonds.

4. Agency Mortgage-Backed Securities.

5. Credit Sensitive Mortgage- and Asset-Backed Securities.

6. Interest Rate and Credit Derivatives.

7. Financing Positions.

SECTION II: VALUATION.

8. General Principles of Bond Valuation.

9. Valuation Methodologies.

10. Valuation of Interest Rate Derivative Instruments.

SECTION III: MEASURING POTENTIAL RETURN AND RISK EXPOSURE.

11. Total Return Framework.

12. Measuring Risk.

13. Measuring Interest Rate Risk.

14. Credit Analysis.

SECTION IV: PORTFOLIO MANAGEMENT STRATEGIES.

15. Managing Funds Against a Bond Market Index.

16. Managing Funds Against Liabilities.

17. Strategies with Futures and Swaps.

18. Strategies with Options, Caps, and Floors.

19. Managing a Global Bond Portfolio.

20. Measuring and Evaluating Performance.

Appendix: Tax Considerations.

Index.

Notă biografică

Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and an Adjunct Professor of Finance at Yale University's School of Management.