Quantitative Management of Bond Portfolios

Quantitative Management of Bond Portfolios

Authors: Lev Dynkin, Anthony Gould, Jay Hyman, Vadim Konstantinovsky and Bruce Phelps

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, 5 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, and risk optimization.