Publications

Managing Fixed Income Portfolios

Type
Link
Cost
Paid
Published
1997

Managing Fixed Income Portfolios is 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.

SECTION I: INTEREST RATE RISK MEASURES

1. Fixed Income Risk

2. Measuring and Managing Interest-Rate Risk

3. Value Measures for Managing Interest-Rate Risk

4. Dissecting Yield Curve Risk

5. Bond Convexity: Hidden Risk, Hidden Value

6. Measuring the Plausibility of Hypothetical Interest Rate Shocks

7. Valuation and Interest Rate Risk Management Using the Arbitrage-Free Bond Canonical Decomposition Methodology


SECTION II: GENERATING EXPECTATIONAL INPUTS

8. Fixed Income Portfolio Investing: The Art of Decision Making

9. Forecasting Interest Rates

10. A Predictive Modeling Framework for Anticipating Long-Term Interest Rates


SECTION III: PORTFOLIO STRATEGIES: ACTIVE AND STRUCTURED

11. Active Bond Portfolio Management: An Expected Return Approach

12. Managing Indexed and Enhanced Indexed Bond Portfolios

13. Managing a Fixed Income Portfolio Versus a Liability Objective

14. Managing Market Risk at Long-Term Investment Funds 

15. Managing Synthetic GIC Portfolios

16. A User's Guide to Buy-Side Bond Trading 

17. Fixed Income Arbitrage Strategies

18. The Persistence of Fixed Income Style Performance: Evidence from Mutual Fund Data

19. Consideration of Risk-Based Capital in Daily Portfolio Decisions for Life Insurers 


SECTION IV: MANAGEMENT BY PRODUCT

20. Management of a High-Yield Bond Portfolio

21. Managing Municipal Bond Portfolios

22. Using Busted Convertibles to Enhance Performance

23. A Practical Guide to Relative Value for Mortgages

24. Commercial Mortgage-Backed Securities: Real Estate Exposure with Managed Risk 

25. Corporate Loan Portfolio Management


SECTION V: INTERNATIONAL FIXED INCOME INVESTING

26. International Bond Portfolio Management

27. International Fixed Income Investment: Philosophy and Process 


SECTION VI: PERFORMANCE EVALUATION

28. Fixed Income Attribution Analysis

29. Measuring Performance of the Insurance Company Portfolio