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Modern multi-factor analysis of bond portfolios : critical implications for hedging and investing / [edited by] Giovanni Barone Adesi, Professor, Università della Svizzera Italiana, Switzerland, Nicola Carcano, Lecturer, Faculty of Economics, Università della Svizzera Italiana, Switzerland.
Lippincott Library HG4651 .M5963 2016
Available
- Format:
- Book
- Language:
- English
- Subjects (All):
- Bonds.
- Bond market.
- Investments.
- Hedge funds.
- Portfolio management.
- Physical Description:
- xi, 124 pages : charts ; 23 cm
- Place of Publication:
- New York : Palgrave Macmillan, 2016.
- Contents:
- Introduction
- Adjusting principal component analysis for model errors / Nicola Carcano
- Alternative models for hedging yield curve risk : an empirical comparison / Nicola Carcano and Hakim Dallo
- Applying error-adjusted hedging to corporate bond portfolios / Giovanni Barone-Adesi, Nicola Carcano and Hakim Dallo
- Credit risk premium: measurement, interpretation & portfolio allocation / Radu Gabudean, Wok Yuen Ng and Bruce D. Phelps
- Conclusion / Giovanni Barone-Adesi and Nicola Carcano.
- Notes:
- Includes bibliographical references and index.
- ISBN:
- 9781137564856
- 1137564857
- OCLC:
- 922970866
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