Bond Portfolio Management

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John Wiley & Sons, Nov 9, 2001 - Business & Economics - 728 pages
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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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Contents

The 1nstruments
33
Bonds
35
Agency MortgageBacked Securities
69
Credit Sensitive Mortgage and AssetBacked Securities
111
1nterest Rate and Credit Derivatives
149
Financing Positions
187
Valuation
209
General Principles of Bond Valuation
211
Measuring Risk
387
Measuring 1nterest Rate Risk
421
Credit Analysis
463
Section 1V Portfolio Management Strategies
509
Managing Funds Against a Bond Market 1ndex
511
Managing Funds Against Liabilities
549
Strategies with Futures and Swaps
575
Strategies with Options Caps and Floors
619

Valuation Methodologies
259
Valuation of 1nterest Rate Derivative 1nstruments
307
Measuring Potential Return and Risk Exposure
355
Total Return Framework
357
Managing a Global Bond Portfolio
645
Measuring and Evaluating Performance
667
Tax Considerations
689
Copyright

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About the author (2001)

Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and an Adjunct Professor of Finance at Yale University's School of Management.

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