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Bond portfolio management

Author: Frank J Fabozzi
Publisher: New Hope, Pa. : Frank J. Fabozzi Associates, ©2001.
Edition/Format:   Print book : English : 2nd edView all editions and formats
Summary:
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  Read more...
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Details

Document Type: Book
All Authors / Contributors: Frank J Fabozzi
ISBN: 1883249368 9781883249366
OCLC Number: 45340472
Description: iii, 724 pages : illustrations ; 24 cm
Contents: 1. Introduction --
2. Investment Objectives of Institutional Investors --
Sect. 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 --
Sect. II. Valuation --
8. General Principles of Bond Valuation --
9. Valuation Methodologies --
10. Valuation of Interest Rate Derivative Instruments --
Sect. III. Measuring Potential Return and Risk Exposure --
11. Total Return Framework --
12. Measuring Risk --
13. Measuring Interest Rate Risk --
14. Credit Analysis --
Sect. 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 --
App. Tax Considerations.
Responsibility: Frank J. Fabozzi.

Abstract:

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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