Frank Fabozzi updates his treatise on one of the largest single investment markets in the world in this edition of Bond Portfolio Management. The leading expert in fixed income securities, Fabozzi 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 applicable for professionals in virtually every financial institution from pension funds to banks to insurance companies. Key topics of this volume include: investment objectives of institutional investors; general principles of bond valuation; measuring interest rate risk; and evaluating performance. Bond Portfolio Management is an excellent companion to Fabozzi’s successful title The Handbook of Fixed-Income Securities.
Book Details:
- Author: Frank J. Fabozzi
- ISBN: 9780470327951
- Year Published: 2001
- Pages: 728
- BISAC: BUS036010, BUSINESS & ECONOMICS/Investments & Securities / Bonds
About the Book and Topic:
Frank Fabozzi updates his treatise on one of the largest single investment markets in the world in this edition of Bond Portfolio Management. The leading expert in fixed income securities, Fabozzi 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 applicable for professionals in virtually every financial institution from pension funds to banks to insurance companies. Key topics of this volume include: investment objectives of institutional investors; general principles of bond valuation; measuring interest rate risk; and evaluating performance. Bond Portfolio Management is an excellent companion to Fabozzi’s successful title The Handbook of Fixed-Income Securities.
1. Introduction 2. Investment Objectives of Institutional Investors Section I: The Instruments 3. Bonds 4. Agency Mortgage-Backed Securities 5. Credit Sensitive Mortgage- and Asset-Backed Securities 6. Interest Rate and Credit Derivatives 7. Financing Positions Section II: Valuation 8. General Principles of Bond Valuation 9. Valuation Methodologies 10. Valuation of Interest Rate Derivative Instruments Section III: Measuring Potential Return and Risk Exposure 11. Total Return Framework 12. Measuring Risk 13. Measuring Interest Rate Risk 14. Credit Analysis Section IV Portfolio: Management Strategies 15. Managing Funds Against a Bond Market Index 16. Managing Funds Against Liabilities 17. Strategies with Futures and Swaps 18. Strategies with Options, Caps, and Floors 19. Managing a Global Bond Portfolio 20. Measuring and Evaluating Performance Appendix: Tax Considerations
About the Author
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.