請推薦Fixed income portfolio 的書 - 金融分析師
By Zora
at 2013-11-13T13:08
at 2013-11-13T13:08
Table of Contents
各位大大你們好 很抱歉一直占用版面
請推薦Fixed income portfolio management & trading strategy的書
主要寫給Fixed income trader / model builder看的
爬文有找到之前版友推薦的幾本書:
The Handbook of Fixed Income Securities / by Frank Fabozzi
Fixed Income Mathematics / by Frank Fabozzi
Fixed-Income Securities: Valuation, Risk Management and Portfolio Strategies
/ by Lionel Martellini, Philippe Priaulet, Stephane Priaulet
Fixed Income Securities: Tools for Today's Markets / by Bruce Tuckman
但因為是07年的文了，不知道這幾年有沒有更好的書出版
另外有一個問題想請教:
當Create一個Bond portfolio的時候，是否可以用efficient frontier 的理論，如下圖
http://ppt.cc/ZuAS
1. 如果可以，那麼每個bond的expected return是否應該直接用當下的yield to
maturity?
2. 當估計兩兩bond之間的return correlation的時候，可以直接從historical price
series (包含coupon payment)來估計嗎?
3. 是否有類似Fama-French 3 Factor Model for equity portfolio的Model可以減少
covariance matrix的estimation effort，如果有比較常見的Model有哪些呢?
先謝謝各位大大了
--
請推薦Fixed income portfolio management & trading strategy的書
主要寫給Fixed income trader / model builder看的
爬文有找到之前版友推薦的幾本書:
The Handbook of Fixed Income Securities / by Frank Fabozzi
Fixed Income Mathematics / by Frank Fabozzi
Fixed-Income Securities: Valuation, Risk Management and Portfolio Strategies
/ by Lionel Martellini, Philippe Priaulet, Stephane Priaulet
Fixed Income Securities: Tools for Today's Markets / by Bruce Tuckman
但因為是07年的文了，不知道這幾年有沒有更好的書出版
另外有一個問題想請教:
當Create一個Bond portfolio的時候，是否可以用efficient frontier 的理論，如下圖
http://ppt.cc/ZuAS
1. 如果可以，那麼每個bond的expected return是否應該直接用當下的yield to
maturity?
2. 當估計兩兩bond之間的return correlation的時候，可以直接從historical price
series (包含coupon payment)來估計嗎?
3. 是否有類似Fama-French 3 Factor Model for equity portfolio的Model可以減少
covariance matrix的estimation effort，如果有比較常見的Model有哪些呢?
先謝謝各位大大了
--
Tags:
金融分析師
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