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Active Asset Allocation
Active Equity Management
16 other sections not shown
accrued interest active management asset allocation asset classes at-the-money basis points benchmark bond markets bond price callable bond cash flow chapter convexity corporate discount dividend dollar duration dynamic hedging E-MODEL earnings equity market evaluation example expected return FASB 87 fixed income futures contract futures position futures price gain/loss profile growth hedge asset immunization implementation increases index arbitrage index fund index futures markets interest rate investment management investor issue issuer liabilities Macaulay duration manager's market value maturity measure ment non-dollar bonds normal portfolio optimal option price out-of-the-money payment pension funds pension plan performance period portfolio insurance portfolio manager premium prepayment program trading purchase put option Quintile ratio rebalancing reinvestment relative result risk asset Salomon Brothers sell short futures shown in Exhibit stock index futures stock market strike price tactical asset allocation tion tracking error transaction costs Treasury securities underlying valuation volatility weighting yield