Modern Multi-Factor Analysis of Bond Portfolios

Modern Multi-Factor Analysis of Bond Portfolios

Author: Giovanni Barone-Adesi

Publisher: Springer

Published: 2015-12-03

Total Pages: 137

ISBN-13: 1137564865

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Where institutions and individuals averagely invest the majority of their assets in money-market and fixed-income instruments, interest rate risk management could be seen as the single most important global financial issue. However, the majority of the key techniques used by most investors were developed several decades ago, and the advantages of multi-factor models are not fully recognised by many researchers and practitioners. This book provides clear and practical insight into bond portfolios and portfolio management through key empirical analysis. The authors use extensive sets of empirical data to describe the value potentially added by more recent techniques to manage interest rate risk relative to traditional techniques and to present empirical evidence of such an added value. Beginning with a description of the simplest models and moving on to the most complex, the authors offer key recommendations for the future of rate risk management.


Scenes, Semiotics and The New Real

Scenes, Semiotics and The New Real

Author: Chris Brown

Publisher: Springer

Published: 2015-11-19

Total Pages: 179

ISBN-13: 1137591129

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This book provides a semiotic analysis of 'scenes', powerful vehicles for introducing new ideas, perspectives and behaviours, as a concept. In particular, it examines the types of scene that exist; explores their effectiveness in spreading new ideas; and considers their vital role in introducing originality and difference in modern society.


Rethinking Interdisciplinarity across the Social Sciences and Neurosciences

Rethinking Interdisciplinarity across the Social Sciences and Neurosciences

Author: F. Callard

Publisher: Springer

Published: 2015-12-30

Total Pages: 248

ISBN-13: 1137407964

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This book offers a provocative account of interdisciplinary research across the neurosciences, social sciences and humanities. Rooting itself in the authors' own experiences, the book establishes a radical agenda for collaboration across these disciplines. This book is open access under a CC-BY license.


Modern Portfolio Theory and Investment Analysis

Modern Portfolio Theory and Investment Analysis

Author: Edwin J. Elton

Publisher: John Wiley & Sons

Published: 2009-11-16

Total Pages: 748

ISBN-13: 0470388323

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An update of a classic book in the field, Modern Portfolio Theory examines the characteristics and analysis of individual securities as well as the theory and practice of optimally combining securities into portfolios. It stresses the economic intuition behind the subject matter while presenting advanced concepts of investment analysis and portfolio management. Readers will also discover the strengths and weaknesses of modern portfolio theory as well as the latest breakthroughs.


Modern Portfolio Theory and Investment Analysis

Modern Portfolio Theory and Investment Analysis

Author: Edwin J. Elton

Publisher: John Wiley & Sons

Published: 2014-01-21

Total Pages: 754

ISBN-13: 1118469941

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Modern Portfolio Theory and Investment Analysis, 9th Editionexamines the characteristics and analysis of individual securities, as well as the theory and practice of optimally combining securities into portfolios. It stresses the economic intuition behind the subject matter while presenting advanced concepts of investment analysis and portfolio management. The authors present material that captures the state of modern portfolio analysis, general equilibrium theory, and investment analysis in an accessible and intuitive manner.


Quantitative Management of Bond Portfolios

Quantitative Management of Bond Portfolios

Author: Lev Dynkin

Publisher: Princeton University Press

Published: 2020-05-26

Total Pages: 998

ISBN-13: 069120277X

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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.


Bond Portfolio Optimization

Bond Portfolio Optimization

Author: Michael Puhle

Publisher: Springer Science & Business Media

Published: 2008-01-08

Total Pages: 143

ISBN-13: 354076593X

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The book analyzes how modern portfolio theory and dynamic term structure models can be applied to government bond portfolio optimization problems. The author studies the necessary adjustments, examines the models with regard to the plausibility of their results and compares the outcomes to portfolio selection techniques used by practitioners. Both single-period and continuous-time bond portfolio optimization problems are considered.