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A contributed handbook on the complexities of portfolio management that includes the most up-to-date findings from leading practitioners in the fixed income securities market.
List of contents
Preface.
SECTION I: INTEREST RATE RISK MEASURES.
1. Fixed Income Risk (R. Kahn).
2. Measuring and Managing Interest-Rate Risk (S. Richard and B. Gord).
3. Value Measures for Managing Interest-Rate Risk (M. Kreisler and R. Worley).
4. Dissecting Yield Curve Risk (W. Phoa).
5. Bond Convexity: Hidden Risk, Hidden Value (K. Grant).
6. Measuring Plausibility of Hypothetical Interest Rate Shocks (B. Golub and L. Tilman).
7. Valuation and Interest Rate Risk Management Using the Arbitrage-Free Bond Canonical Decomposition Methodology (T. Ho and M. Chen).
SECTION II: GENERATING EXPECTATIONAL INPUTS.
8. Fixed Income Portfolio Investing: The Art of Decision Making (C. Dialynas and E. Rachlin).
9. Forecasting Interest Rates (W. Woolford).
10. A Predictive Modeling Framework for Anticipating Long-Term Interest Rates (G. Boal and E. Plowden).
SECTION III: PORTFOLIO STRATEGIES: ACTIVE AND STRUCTURED.
11. Active Bond Portfolio Management: An Expected Return Approach (F. Trainer, Jr.).
12. Managing Indexed and Enhanced Indexed Bond Portfolios (K. Volpert).
13. Managing a Fixed Income Portfolio Versus a Liability Objective (R. Ryan).
14. Managing Market Risk at Long-Term Investment Funds (L. Gibson, III).
15. Managing Synthetic GIC Portfolios (K. Tourville and J. Caswell).
16. A User s Guide to Buy-Side Bond Trading (R. Gerber).
17. Fixed Income Arbitrage Strategies (J. Berens and R. Friend).
18. The Persistence of Fixed Income Style Performance: Evidence from Mutual Fund Data (R. Kahn and A. Rudd).
19. Consideration of Risk-Based Capital in Daily Portfolio Decisions for Life Insurers (J. Saf).
SECTION IV: MANAGEMENT BY PRODUCT.
20. Management of a High-Yield Bond Portfolio (J. Madden and J. Balestrino).
21. Managing Municipal Bond Portfolios (J. Slater).
22. Using Busted Convertibles to Enhance Performance (W. Leach).
23. A Practical Guide to Relative Value for Mortgages (W. Phoa).
24. Commercial Mortgage-Backed Securities: Real Estate Exposure with Managed Risk (J. DeMichele and W. Adams).
25. Corporate Loan Portfolio Management (E. Asarnow and M. McAdams).
SECTION V: INTERNATIONAL FIXED INCOME INVESTING.
26. International Bond Portfolio Management (C. Steward and J. Lynch).
27. International Fixed Income Investment: Philosophy and Process (A. Faillace and L. Thomas).
SECTION VI: PERFORMANCE EVALUATION.
28. Fixed Income Attribution Analysis (F. Jones and L. Peltzman).
29. Measuring Performance of the Insurance Company Portfolio (G. Hahn and J. Saf).
Index.
About the author
Frank J. Fabozzi, PhD, CFP, CPA, is Editor of the Journal of Portfolio Management and an Adjunct Professor of Finance at Yale University's School of Management. Dr. Fabozzi is on the board of directors of the Guardian Life family of funds and the BlackRock complex of funds. He earned a doctorate in economics from the City University of New York in 1972 and, in 1994, received an honorary doctorate of humane letters from Nova Southeastern University. Dr. Fabozzi is a Fellow of the International Center for Finance at Yale University.
Summary
A handbook on the complexities of portfolio management. It includes findings from practitoners in the fixed income securities market and addresses interest rate risk, portfolios comprised of the major fixed income products and interest rate forecasting and modelling.
