Modern multi-factor analysis of bond portfolios : critical implications for hedging and investing /

Bibliographic Details
Other Authors:	Barone Adesi, Giovanni, 1951- (Editor), Carcano, Nicola, 1964- (Editor)
Format:	Book
Language:	English
Published:	New York : Palgrave Macmillan, [2016]
Series:	Palgrave pivot.
Subjects:	Bonds. Bond market. Investments. Hedge funds. Portfolio management.

Table of 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.