EDHEC-Risk Concept Industry Analysis Featured Analysis Latest EDHEC-Risk Surveys Research News Research Papers Books Features Interviews Indexes and Benchmarking EDHEC-Risk Efficient Equity Indices FTSE EDHEC-Risk ERAFP SRI Index Equity Index Research EDHEC-Risk Alternative Indexes Hedge Fund Index Research EDHEC-Risk IEIF Commercial Property Indices Amundi ETF "Core-Satellite and ETF Investment" Research Chair Style and Performance Analysis Hedge Fund Performance EuroPerformance/EDHEC-Risk Institute Style Ratings Performance Measurement for Traditional Investment Asset Allocation and Alternative Diversification Real Assets Newedge "Advanced Modelling for Alternative Investments" Research Chair CME Group "Exploring the Commodity Futures Risk Premium: Implications for Asset Allocation and Regulation" Strategic Research Project SGCIB "Structured Equity Investment Strategies for Long-Term Asian Investors" Strategic Research Project Asset Allocation and Derivative Instruments Structured Forms of Investment Strategies FBF "Structured Products and Derivatives" Research Chair Eurex "The Benefits of Volatility Derivatives in Equity Portfolio Management" Strategic Research Project ALM and Asset Management AXA Investment Managers "Regulation and Institutional Investment" Research Chair BNP Paribas Investment Partners "ALM and Institutional Investment Management" Research Chair Deutsche Bank "Asset-Liability Management Techniques for Sovereign Wealth Fund Management" Research Chair Ontario Teachers' Pension Plan "Advanced Investment Solutions for Liability Hedging for Inflation Risk" Research Chair Rothschild & Cie "The Case for Inflation-Linked Corporate Bonds: Issuers' and Investors' Perspectives" Research Chair Russell Investments "Solvency II Benchmarks" Research Chair La Française AM "Dynamic Allocation Models and New Forms of Target-Date Funds for Private and Institutional Clients" Research Chair Operational Risks and Performance Best Execution: MiFID and TCA Mitigating Hedge Funds Operational Risks CACEIS "Risk and Regulation in the European Fund Management Industry" Research Chair EDHEC-Risk Publications Reports, Studies, Surveys and Position Papers Academic Publications All EDHEC-Risk Publications Events Events organised by EDHEC-Risk Institute CFA Institute/EDHEC-Risk Institute Advances in Asset Allocation Seminar, San Francisco, 6-8 March, 2012 Execution and Trading on Equity Markets - The New Landscape, Singapore, 9 March, 2012 EDHEC-Risk Days Europe 2012, London, 27-29 March, 2012 Alternative Asset Allocation Seminar, New York, 11-13 April, 2012 Advances in Equity Portfolio Construction Seminar, London, 19-20 April, 2012 State-of-the-Art Commodities Investing Seminar, Singapore, 23-24 April, 2012 EDHEC-Risk Days Asia 2012, Singapore, 9-10 May, 2012 CFA Institute/EDHEC-Risk Institute Advances in Asset Allocation Seminar, New York, 12-14 June, 2012 Advanced Commodity Investment Seminar, London, 19-20 June, 2012 Events involving EDHEC-Risk Institute's participation EDHEC-Risk Institute Presentation Research Programmes Research Chairs and Strategic Research Projects Partnership International Advisory Board Team EDHEC-Risk News EDHEC-Risk Newsletter EDHEC-Risk Press Releases EDHEC-Risk in the Press Careers EDHEC Business School EDHEC-Risk Executive Education EDHEC-Risk Institute PhD in Finance EDHEC-Risk Institute Executive MSc in Risk and Investment Management Investment Management Seminars Contact Us Contact Us
Asset Allocation
Advanced Bond Portfolio Management: Best Practices in Modeling and Strategies: Chinese translation

Authors: Editors: Frank J. Fabozzi, Lionel Martellini, Philippe Priaulet
Editions: Wiley Finance
Pages: 370 pages
Date: 2007
 
 
 
Summary
The Chinese translation of "Portfolio Management: Best Practices in Modeling and Strategies".

In order to effectively employ portfolio strategies that can control interest rate risk and/or enhance returns, you must understand the forces that drive bond markets, as well as the valuation and risk management practices of these complex securities. In Advanced Bond Portfolio Management, Frank Fabozzi, Lionel Martellini, and Philippe Priaulet have brought together more than thirty experienced bond market professionals to help you do just that.

Divided into six comprehensive parts, Advanced Bond Portfolio Management will guide you through the state-of-the-art techniques used in the analysis of bonds and bond portfolio management. Topics covered include:
  • General background information on fixed-income markets and bond portfolio strategies
  • The design of a strategy benchmark
  • Various aspects of fixed-income modeling that will provide key ingredients in the implementation of an efficient portfolio and risk management process
  • Interest rate risk and credit risk management
  • Risk factors involved in the management of an international bond portfolio
Filled with in-depth insight and expert advice, Advanced Bond Portfolio Management is a valuable resource for anyone involved or interested in this important industry.

About the Editors:

Frank J. Fabozzi, PhD, CFA, CPA, was the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management and a Fellow of the International Center for Finance at the time of writing. Prior to joining the Yale faculty, Fabozzi was a visiting professor of finance in the Sloan School at MIT. He is the Editor of the Journal of Portfolio Management. He is currently Professor of Finance at EDHEC Business School.

Lionel Martellini, PhD, is Professor of Finance at EDHEC Business School in France and the Scientific Director of EDHEC-Risk Insitute. A former member of the faculty at the Marshall School of Business, University of Southern California, he holds Master's Degrees in Business Administration, Economics, Statistics, and Mathematics, as well as a PhD in Finance from the Haas School of Business, University of California, Berkeley.

Philippe Priaulet, PhD, is the Head of Global Strategy at Natexis Banques Populaires. He is also an Associate Professor in the Department of Mathematics at the Université of Evry Val d'Essonne. He holds Master's Degrees in Business Administration and Mathematics as well as a PhD in Financial Economics from the Université Paris IX Dauphine.
 
 
 
     


FTSE EDHEC-Risk Efficient Indexes: January 2012
United States 4.27%
United Kingdom 2.78%
Eurobloc 5.66%
Developed Europe 5.17%
Dev. Europe ex. UK 5.58%
Japan 2.20%
Dev. Asia ex. Jap. 7.51%
Asia-Pac. ex. Jap. 8.66%
Asia-Pacific 6.63%
Developed 4.65%
Emerging 10.25%
All World ex. US 6.10%
All World ex. UK 5.36%
All World 5.28%


EDHEC-Risk Alternative Indexes: December 2011
Conv. Arb. 0.29%
CTA Global 0.34%
Dist. Sec. 0.50%
Emg. Mkts -1.81%
Eq. Mkt Neut. 0.06%
Event Driven -0.34%
Fix. Inc. Arb. 0.45%
Global Macro -0.22%
L/S Equity -0.56%
Merger Arb. 0.56%
Rel. Value 0.12%
Short Selling 0.41%
FoF -0.54%

EDHEC-Risk IEIF Commercial Property: January 2012
Price (FR) 0.36%
Total Return (FR) 1.80%





EDHEC Partners
Pal bottom