MARC record from Internet Archive

LEADER: 05513cam 22004334a 4500
001 9922503240001661
005 20150423144105.0
008 060522s2007 njua b 001 0 eng
010 $a 2006016995
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016 7 $a013552662$2Uk
020 $a0691128316 (hardcover : alk. paper)
020 $a9780691128313 (hardcover : alk. paper)
029 1 $aYDXCP$b2436555
035 $a(CSdNU)u296523-01national_inst
035 $a(OCoLC)70060959
035 $a(OCoLC)70060959
035 $a(OCoLC)70060959
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049 $aCNUM
050 00 $aHG4651$b.Q36 2007
082 00 $a332.63/23$222
245 00 $aQuantitative management of bond portfolios /$cLev Dynkin ... [et al.].
260 $aPrinceton :$bPrinceton University Press,$cc2007.
300 $axix, 978 p. :$bill. ;$c25 cm.
440 0 $aAdvances in financial engineering
504 $aIncludes bibliographical references and index.
505 0 $aValue of security selection vs. asset allocation in credit markets -- Value of skill in macro strategies for global fixed-income investing -- Cost of the no-leverage constraint in duration timing : index replication -- Replicating the Lehman Brothers U.S. aggregate index with liquid instruments -- Replicating the Lehman Brothers global aggregate index with liquid instruments -- Tradable proxy portfolios for the Lehman Brothers MBS index -- High-yield index replication -- CMBS index replication : benchmark customization -- Evaluating performance of long-horizon portfolios -- Liability-based benchmarks -- Swap indices -- Benchmarks for asset swapped portfolios -- Issuer-capped and downgrade-tolerant U.S. corporate indices : managing credit portfolios -- Sufficient diversification in credit portfolios -- Return performance of investment-grade bonds after distress -- Optimal credit allocation for buy-and-hold investors -- A quick look at index tails -- Are credit markets globally integrated? : managing mortgage portfolios -- Managing against the Lehman Brothers MBS index : prices and returns -- Evaluating measures of MBS duration -- MBS investing over long horizons : managing central bank reserves -- Total return management of central bank reserves -- The prospects of negative annual total returns in short-duration treasury benchmarks -- Effect of security selection skill on optimal sector allocation -- Risk budget allocation to issuer and sector views -- Multifactor risk modeling and performance attribution -- The global risk model : a portfolio manager's guide -- The hybrid performance attribution model -- Insights on duration and convexity -- Portfolio yields and durations -- Computing excess return of spread securities -- Currency-hedged returns in fixed-income indices -- The bund-treasury trade in portfolios -- Empirical duration of credit securities -- Duration times spread : a new measure of spread risk for credit securities -- Hedging debt with equity.
505 0 $aValue of security selection vs. asset allocation in credit markets -- Value of skill in macro strategies for global fixed income investing -- Cost of the no-leverage constraint in duration timing : index replication -- Replicating the Lehman Brothers U.S. aggregate index with liquid instruments -- Replicating the Lehman Brothers global aggregate index with liquid instruments -- Tradable proxy portfolios for the Lehman Brothers MBS index -- High-yield index replication -- CMBS index replication : benchmark customization -- Evaluating performance of long-horizon portfolios -- Liability-based benchmarks -- Swap indices -- Benchmarks for asset swapped portfolios -- Issuer-capped and downgrade-tolerant U.S. corporate indices : strategies for managing credit portfolios -- Sufficient diversification in credit portfolios -- Return performance of investment-grade bonds after distress -- Optimal credit allocation for buy-and-hold investors -- A quick look at index tails -- Are credit markets globally integrated? : strategies for managing mortgage portfolios -- Managing against the Lehman Brothers MBS index : prices and returns -- Evaluating measures of MBS duration -- MBS investing over long horizons : strategies for managing central bank reserves -- Total return management of central bank reserves -- The prospects of negative annual total returns in short duration treasury benchmarks -- Effect of security selection skill on optimal sector allocation -- Risk budget allocation to issuer and sector views -- Multi-factor risk modeling and performance attribution -- The global risk model : a portfolio manager's guide -- The hybrid performance attribution model -- Insights on duration and convexity -- Portfolio yields and durations -- Computing excess return of spread securities -- Currency hedging in fixed income portfolios -- The bund-treasury trade in portfolios -- Empirical duration of credit securities -- DTS (duration times spread) : a new measure of spread risk for credit securities -- Hedging debt with equity.
650 0 $aBonds.
650 0 $aPortfolio management.
700 1 $aDynkin, Lev,$d1957-
938 $aBaker & Taylor$bBKTY$c85.00$d85.00$i0691128316$n0006819150$sactive
938 $aYBP Library Services$bYANK$n2436555
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999 $aHG 4651 .Q36 2007$wLC$c1$i31786102111850$d10/12/2009$lCIRCSTACKS $mNULS$q1$rY$sY$tBOOK$u4/25/2007