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.
