Managing Fixed Income Portfolios


A contributed handbook on the complexities of portfolio management that includes the most up-to-date findings from leading practitioners in the fixed income securities market.

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A contributed handbook on the complexities of portfolio management that includes the most up-to-date findings from leading practitioners in the fixed income securities market.

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Product Details

  • ISBN-13: 9781883249274
  • Publisher: Wiley
  • Publication date: 6/15/1997
  • Series: Frank J. Fabozzi Series , #26
  • Edition number: 1
  • Pages: 545
  • Product dimensions: 6.14 (w) x 9.21 (h) x 1.31 (d)

Meet the Author

Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and an Adjunct Professor of Finance at Yale University's School of Management.

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Table of Contents



1. Fixed Income Risk (R. Kahn).

2. Measuring and Managing Interest-Rate Risk (S. Richard and B. Gord).

3. Value Measures for Managing Interest-Rate Risk (M. Kreisler and R. Worley).

4. Dissecting Yield Curve Risk (W. Phoa).

5. Bond Convexity: Hidden Risk, Hidden Value (K. Grant).

6. Measuring Plausibility of Hypothetical Interest Rate Shocks (B. Golub and L. Tilman).

7. Valuation and Interest Rate Risk Management Using the Arbitrage-Free Bond Canonical Decomposition Methodology (T. Ho and M. Chen).


8. Fixed Income Portfolio Investing: The Art of Decision Making (C. Dialynas and E. Rachlin).

9. Forecasting Interest Rates (W. Woolford).

10. A Predictive Modeling Framework for Anticipating Long-Term Interest Rates (G. Boal and E. Plowden).


11. Active Bond Portfolio Management: An Expected Return Approach (F. Trainer, Jr.).

12. Managing Indexed and Enhanced Indexed Bond Portfolios (K. Volpert).

13. Managing a Fixed Income Portfolio Versus a Liability Objective (R. Ryan).

14. Managing Market Risk at Long-Term Investment Funds (L. Gibson, III).

15. Managing Synthetic GIC Portfolios (K. Tourville and J. Caswell).

16. A User's Guide to Buy-Side Bond Trading (R. Gerber).

17. Fixed Income Arbitrage Strategies (J. Berens and R. Friend).

18. The Persistence of Fixed Income Style Performance: Evidence from Mutual Fund Data (R. Kahn and A. Rudd).

19. Consideration of Risk-Based Capital in Daily Portfolio Decisions for Life Insurers (J. Saf).


20. Management of a High-Yield Bond Portfolio (J. Madden and J. Balestrino).

21. Managing Municipal Bond Portfolios (J. Slater).

22. Using Busted Convertibles to Enhance Performance (W. Leach).

23. A Practical Guide to Relative Value for Mortgages (W. Phoa).

24. Commercial Mortgage-Backed Securities: Real Estate Exposure with Managed Risk (J. DeMichele and W. Adams).

25. Corporate Loan Portfolio Management (E. Asarnow and M. McAdams).


26. International Bond Portfolio Management (C. Steward and J. Lynch).

27. International Fixed Income Investment: Philosophy and Process (A. Faillace and L. Thomas).


28. Fixed Income Attribution Analysis (F. Jones and L. Peltzman).

29. Measuring Performance of the Insurance Company Portfolio (G. Hahn and J. Saf).


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