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Modern Multi-Factor Analysis of Bond Portfolios: Critical Implications for Hedging and Investing

  • Giovanni Barone Adesi
  • Nicola Carcano

Table of contents

  1. Front Matter
    Pages i-xii
  2. Giovanni Barone Adesi, Nicola Carcano
    Pages 1-5
  3. Giovanni Barone Adesi, Nicola Carcano, Hakim Dall’O
    Pages 47-77
  4. Radu C. Gabudean, Kwok Yuen Ng, Bruce D. Phelps
    Pages 78-110
  5. Giovanni Barone Adesi, Nicola Carcano
    Pages 111-114
  6. Back Matter
    Pages 115-124

About this book

Introduction

Where institutions and individuals averagely invest the majority of their assets in money-market and fixed-income instruments, interest rate risk management could be seen as the single most important global financial issue. However, the majority of the key techniques used by most investors were developed several decades ago, and the advantages of multi-factor models are not fully recognised by many researchers and practitioners.


This book provides clear and practical insight into bond portfolios and portfolio management through key empirical analysis. The authors use extensive sets of empirical data to describe the value potentially added by more recent techniques to manage interest rate risk relative to traditional techniques and to present empirical evidence of such an added value. Beginning with a description of the simplest models and moving on to the most complex, the authors offer key recommendations for the future of rate risk management.

Keywords

Fixed-income multi-factor models bond portfolio optimization bond hedging Portfolio portfolio management Portfolio Optimization

Editors and affiliations

  • Giovanni Barone Adesi
    • 1
  • Nicola Carcano
    • 2
  1. 1.Università della Svizzera ItalianaSwitzerland
  2. 2.Faculty of EconomicsUniversità della Svizzera ItalianaSwitzerland

Bibliographic information

  • DOI https://doi.org/10.1007/978-1-137-56486-3
  • Copyright Information Palgrave Macmillan, a division of Macmillan Publishers Limited 2016
  • Publisher Name Palgrave Macmillan, London
  • eBook Packages Business and Economics
  • Print ISBN 978-1-349-85024-2
  • Online ISBN 978-1-137-56486-3
  • Buy this book on publisher's site