Risk Budgeting for Fixed Income Portfolios

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; and, 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.https://scholar.dominican.edu/books/1076/thumbnail.jp

Quality Control – How to make sure you add the right hedge fund to your soup

Back in the early 2000s, the BlackRock Multi-Asset Client Solutions (BMACS) Group’s Client Strategy team noticed a pattern of client inquiries surrounding hedge funds and, more specifically, how they might fit within institutional portfolios. My mantra became: “Waiter! What’s this hedge fund doing in my soup?” The title is a play on a joke about a diner who asks the waiter to explain why a bug is in his soup. The waiter’s explanation, “well, sir, it appears to be the backstroke,” is literally correct, but doesn’t really answer the client’s question

Three R’s to the Rescue – Revitalizing Portfolios with Risk Factors, Regime Analysis and Robust Risk Management Systems

The financial turbulence of the last decade didn’t just damage portfolios; it also dealt a blow to longstanding ideas about how to manage them. We believe that traditional approaches to asset allocation and risk management are unlikely to fare much better in years to come