(Mortgage backed securities) * 精品课件资料 Fixed Income Portfolio Management Strategies Passive or Active? Passive: Not trying to “beat the market” Attempts to control risk of the portfolio Indexation Immunization * 精品课件资料 Fixed Income Portfolio Management - Passive Indexation Build a portfolio...
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固定收益超级牛书br/《Fixed-Income Securities Valuation, Risk Management and Portfolio Strategies》 文档格式: .pdf 文档大小: 339.29K 文档页数: 53页 顶/踩数: 6/0 收藏人数: 38 评论次数: 1 文档热度: 文档分类: 金融/证券--股票经典资料
In this chapter we provide an overview of strategies for managing fixed income portfolios. The subject is inherentlycomplex and quantitative. Consequently, we have left out the details to specialized books on fixed income portfolio management. Readers may refer to the references provided at the end ...
fixedglobalincomeportfolio组合全球 JournalofFinancialandStrategicDecisionsVolume13Number3Fall200049GLOBALFIXEDINCOMEPORTFOLIOMANAGEMENTKarenM.Hogan,*RichardJ.Kish**andJamesA.Greenleaf**AbstractGlobalincomeinvestinghasbecomeverypopularoverthelastdecadeasinvestorsworldwidesoughtmorefavorablerisk-returntradeoffsbycombiningintern...
5 Laddered Bond Portfolio R12: Liability-driven and Index-based Strategies 1 Liability 1.1 四种Liability 一棒二拳三服四养老 一棒:bond,Amount of cash outlay与Timing of cash outlay都已知 二拳:带option的bond,timing未知 三服:float,amount未知 四养老:amount和timing都未知 1.2 Immunization——single-li...
计算portfolio的OAS: 考点是组合的OAS要通过FACE VALUE到实际价格求权重,通过权重求组合的OAS 2.2 Floating-Rate Bond QM VS DM :upgrade或者downgrade时候QM和DM不同,当downgrade/discount时,P小,R大,即DM>QM。 ZDM VS DM :看MRR的变动 3 Credit Strategies ...
CFA 三级fixed income Reading 24讲义-4
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Merganser Capital Management provides fixed income portfolio management focused on building and managing customized portfolios for institutional investors nation-wide.