Research Catalog

Fixed income portfolio management : issues and solutions

Title
Fixed income portfolio management : issues and solutions / edited by Thomas S.Y. Ho.
Publication
Homewood, Ill. : Business One Irwin, [1993], ©1993.

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Details

Additional Authors
Ho, Thomas S. Y.
Description
ix, 149 pages : illustrations; 24 cm
Summary
Today, fixed-income portfolio managers are faced with more investment choices than ever before. In order to make the best possible decisions for their clients, these money managers must be able to evaluate their options using the most recent quantitative analysis techniques. Written by some of the most respected professionals in the field, Fixed-Income Portfolio Management explains the latest techniques being used in the daily management of actual fixed-income billion dollar portfolios. This one-of-a-kind expert guide identifies different measures of yields for mortgage-backed securities, including the benefits and drawbacks for each; explains new ways to analyze the value of illiquid securities such as private placements and commercial mortgages; and describes the strengths and weaknesses of specific asset allocation strategies for insurance portfolios.
Subjects
Note
  • "Proceedings from the first annual GAT conference."
Bibliography (note)
  • Includes bibliographical references.
Contents
Ch. 1. Mortgage-Backed Securities and the Yield Curve / Andrew S. Davidson -- Ch. 2. CMO Yield Attribution and Option Spread / Thomas S.Y. Ho -- Ch. 3. Managing Mortgages Against Their Universe: Using the Fidelity OAS Model / Andrew Hall -- Ch. 4. Illiquid Securities: Issues of Pricing and Performance Measurement / Duen-Li Kao -- Ch. 5. Enhancing the Returns of a Replicating Portfolio / William F. McCoy -- Ch. 6. Managing Fixed-Income Assets Within a Multi-Asset Class Insurance Portfolio / Robert M. Lally -- Ch. 7. A Practical Approach to Asset Allocation / Young W. Yoon -- Ch. 8. Using Simulation Models to Improve Insurance Company Performance / Thomas A. McAvity, Jr.
ISBN
1556238452
LCCN
92037516
OCLC
  • 26929851
  • ocm26929851
Owning Institutions
Columbia University Libraries