Modern multi-factor analysis of bond portfolios
Subtitle: critical implications for hedging and investing
By: [edited by] Giovanni Barone Adesi, Professor, Università della Svizzera Italiana, Switzerland, Nicola Carcano, Lecturer, Faculty of Economics, Università della Svizzera Italiana, Switzerland
Publisher: Palgrave Macmillan
Published: 2015
Place of publication: New York
Language: eng
ISBN-13: 9781137564856
Subjects: Hedge funds; Porfolio management; Investments; Bond market; Bonds
Table of contents: title: Introduction; title: Adjusting principal component analysis for model errors / Nicola Carcano; title: Alternative models for hedging yield curve risk : an empirical comparison / Nicola Carcano and Hakim Dallo; title: Applying error-adjusted hedging to corporate bond portfolios / Giovanni Barone-Adesi, Nicola Carcano and Hakim Dallo; title: Credit risk premium: measurement, interpretation & portfolio allocation / Radu Gabudean, Wok Yuen Ng and Bruce D. Phelps; title: Conclusion / Giovanni Barone-Adesi and Nicola Carcano.