{"product_id":"portfolio-construction-and-analytics-hardback-9781118445594","title":"Portfolio Construction and Analytics Hardback","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003eA detailed, multi-disciplinary approach to investment analytics    Portfolio Construction and Analytics provides an up-to-date understanding of the analytic investment process for students and professionals alike.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003ePreface xix \u003cp\u003eAbout the Authors xxv\u003c\/p\u003e \u003cp\u003eAcknowledgments xxvii\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 1 Introduction to Portfolio Management and Analytics 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1.1 Asset Classes and the Asset Allocation Decision 1\u003c\/p\u003e \u003cp\u003e1.2 The Portfolio Management Process 4\u003c\/p\u003e \u003cp\u003e1.2.1 Setting the Investment Objectives 4\u003c\/p\u003e \u003cp\u003e1.2.2 Developing and Implementing a Portfolio Strategy 6\u003c\/p\u003e \u003cp\u003e1.2.3 Monitoring the Portfolio 8\u003c\/p\u003e \u003cp\u003e1.2.4 Adjusting the Portfolio 9\u003c\/p\u003e \u003cp\u003e1.3 Traditional versus Quantitative Asset Management 9\u003c\/p\u003e \u003cp\u003e1.4 Overview of Portfolio Analytics 10\u003c\/p\u003e \u003cp\u003e1.4.1 Market Analytics 12\u003c\/p\u003e \u003cp\u003e1.4.2 Financial Screening 15\u003c\/p\u003e \u003cp\u003e1.4.3 Asset Allocation Models 16\u003c\/p\u003e \u003cp\u003e1.4.4 Strategy Testing and Evaluating Portfolio Performance 17\u003c\/p\u003e \u003cp\u003e1.4.5 Systems for Portfolio Analytics 20\u003c\/p\u003e \u003cp\u003e1.5 Outline of Topics Covered in the Book 22\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART ONE Statistical Models of Risk and Uncertainty\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 2 Random Variables, Probability Distributions, and Important Statistical Concepts 31\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 What Is a Probability Distribution? 31\u003c\/p\u003e \u003cp\u003e2.2 The Bernoulli Probability Distribution and Probability Mass Functions 32\u003c\/p\u003e \u003cp\u003e2.3 The Binomial Probability Distribution and Discrete Distributions 34\u003c\/p\u003e \u003cp\u003e2.4 The Normal Distribution and Probability Density Functions 38\u003c\/p\u003e \u003cp\u003e2.5 The Concept of Cumulative Probability 41\u003c\/p\u003e \u003cp\u003e2.6 Describing Distributions 44\u003c\/p\u003e \u003cp\u003e2.6.1 Measures of Central Tendency 44\u003c\/p\u003e \u003cp\u003e2.6.2 Measures of Risk 47\u003c\/p\u003e \u003cp\u003e2.6.3 Skew 54\u003c\/p\u003e \u003cp\u003e2.6.4 Kurtosis 55\u003c\/p\u003e \u003cp\u003e2.7 Dependence between Two Random Variables: Covariance and Correlation 55\u003c\/p\u003e \u003cp\u003e2.8 Sums of Random Variables 57\u003c\/p\u003e \u003cp\u003e2.9 Joint Probability Distributions and Conditional Probability 61\u003c\/p\u003e \u003cp\u003e2.10 Copulas 64\u003c\/p\u003e \u003cp\u003e2.11 From Probability Theory to Statistical Measurement: Probability Distributions and Sampling 66\u003c\/p\u003e \u003cp\u003e2.11.1 Central Limit Theorem 70\u003c\/p\u003e \u003cp\u003e2.11.2 Confidence Intervals 71\u003c\/p\u003e \u003cp\u003e2.11.3 Bootstrapping 72\u003c\/p\u003e \u003cp\u003e2.11.4 Hypothesis Testing 73\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 3 Important Probability Distributions 77\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 Examples of Probability Distributions 79\u003c\/p\u003e \u003cp\u003e3.1.1 Notation Used in Describing Continuous Probability Distributions 79\u003c\/p\u003e \u003cp\u003e3.1.2 Discrete and Continuous Uniform Distributions 80\u003c\/p\u003e \u003cp\u003e3.1.3 Student’s t Distribution 82\u003c\/p\u003e \u003cp\u003e3.1.4 Lognormal Distribution 83\u003c\/p\u003e \u003cp\u003e3.1.5 Poisson Distribution 85\u003c\/p\u003e \u003cp\u003e3.1.6 Exponential Distribution 87\u003c\/p\u003e \u003cp\u003e3.1.7 Chi-Square Distribution 88\u003c\/p\u003e \u003cp\u003e3.1.8 Gamma Distribution 90\u003c\/p\u003e \u003cp\u003e3.1.9 Beta Distribution 90\u003c\/p\u003e \u003cp\u003e3.2 Modeling Financial Return Distributions 91\u003c\/p\u003e \u003cp\u003e3.2.1 Elliptical Distributions 92\u003c\/p\u003e \u003cp\u003e3.2.2 Stable Paretian Distributions 94\u003c\/p\u003e \u003cp\u003e3.2.3 Generalized Lambda Distribution 96\u003c\/p\u003e \u003cp\u003e3.3 Modeling Tails of Financial Return Distributions 98\u003c\/p\u003e \u003cp\u003e3.3.1 Generalized Extreme Value Distribution 98\u003c\/p\u003e \u003cp\u003e3.3.2 Generalized Pareto Distribution 99\u003c\/p\u003e \u003cp\u003e3.3.3 Extreme Value Models 101\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 4 Statistical Estimation Models 106\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 Commonly Used Return Estimation Models 106\u003c\/p\u003e \u003cp\u003e4.2 Regression Analysis 108\u003c\/p\u003e \u003cp\u003e4.2.1 A Simple Regression Example 109\u003c\/p\u003e \u003cp\u003e4.2.2 Regression Applications in the Investment Management Process 114\u003c\/p\u003e \u003cp\u003e4.3 Factor Analysis 116\u003c\/p\u003e \u003cp\u003e4.4 Principal Components Analysis 118\u003c\/p\u003e \u003cp\u003e4.5 Autoregressive Conditional Heteroscedastic Models 125\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART TWO Simulation and Optimization Modeling\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 5 Simulation Modeling 133\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 Monte Carlo Simulation: A Simple Example 133\u003c\/p\u003e \u003cp\u003e5.1.1 Selecting Probability Distributions for the Inputs 135\u003c\/p\u003e \u003cp\u003e5.1.2 Interpreting Monte Carlo Simulation Output 137\u003c\/p\u003e \u003cp\u003e5.2 Why Use Simulation? 140\u003c\/p\u003e \u003cp\u003e5.2.1 Multiple Input Variables and Compounding Distributions 141\u003c\/p\u003e \u003cp\u003e5.2.2 Incorporating Correlations 142\u003c\/p\u003e \u003cp\u003e5.2.3 Evaluating Decisions 144\u003c\/p\u003e \u003cp\u003e5.3 How Many Scenarios? 147\u003c\/p\u003e \u003cp\u003e5.4 Random Number Generation 149\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 6 Optimization Modeling 151\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e6.1 Optimization Formulations 152\u003c\/p\u003e \u003cp\u003e6.1.1 Minimization versus Maximization 154\u003c\/p\u003e \u003cp\u003e6.1.2 Local versus Global Optima 155\u003c\/p\u003e \u003cp\u003e6.1.3 Multiple Objectives 156\u003c\/p\u003e \u003cp\u003e6.2 Important Types of Optimization Problems 157\u003c\/p\u003e \u003cp\u003e6.2.1 Convex Programming 157\u003c\/p\u003e \u003cp\u003e6.2.2 Linear Programming 158\u003c\/p\u003e \u003cp\u003e6.2.3 Quadratic Programming 159\u003c\/p\u003e \u003cp\u003e6.2.4 Second-Order Cone Programming 160\u003c\/p\u003e \u003cp\u003e6.2.5 Integer and Mixed Integer Programming 161\u003c\/p\u003e \u003cp\u003e6.3 A Simple Optimization Problem Formulation Example: Portfolio Allocation 161\u003c\/p\u003e \u003cp\u003e6.4 Optimization Algorithms 166\u003c\/p\u003e \u003cp\u003e6.5 Optimization Software 168\u003c\/p\u003e \u003cp\u003e6.6 A Software Implementation Example 170\u003c\/p\u003e \u003cp\u003e6.6.1 Optimization with Excel Solver 171\u003c\/p\u003e \u003cp\u003e6.6.2 Solution to the Portfolio Allocation Example 175\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 7 Optimization under Uncertainty 180\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e7.1 Dynamic Programming 181\u003c\/p\u003e \u003cp\u003e7.2 Stochastic Programming 183\u003c\/p\u003e \u003cp\u003e7.2.1 Multistage Models 184\u003c\/p\u003e \u003cp\u003e7.2.2 Mean-Risk Stochastic Models 189\u003c\/p\u003e \u003cp\u003e7.2.3 Chance-Constrained Models 191\u003c\/p\u003e \u003cp\u003e7.3 Robust Optimization 194\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART THREE Portfolio Theory\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 8 Asset Diversification 203\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e8.1 The Case for Diversification 204\u003c\/p\u003e \u003cp\u003e8.2 The Classical Mean-Variance Optimization Framework 208\u003c\/p\u003e \u003cp\u003e8.3 Efficient Frontiers 212\u003c\/p\u003e \u003cp\u003e8.4 Alternative Formulations of the Classical Mean-Variance Optimization Problem 215\u003c\/p\u003e \u003cp\u003e8.4.1 Expected Return Formulation 215\u003c\/p\u003e \u003cp\u003e8.4.2 Risk Aversion Formulation 215\u003c\/p\u003e \u003cp\u003e8.5 The Capital Market Line 216\u003c\/p\u003e \u003cp\u003e8.6 Expected Utility Theory 220\u003c\/p\u003e \u003cp\u003e8.6.1 Quadratic Utility Function 221\u003c\/p\u003e \u003cp\u003e8.6.2 Linear Utility Function 223\u003c\/p\u003e \u003cp\u003e8.6.3 Exponential Utility Function 224\u003c\/p\u003e \u003cp\u003e8.6.4 Power Utility Function 224\u003c\/p\u003e \u003cp\u003e8.6.5 Logarithmic Utility Function 224\u003c\/p\u003e \u003cp\u003e8.7 Diversification Redefined 226\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 9 Factor Models 232\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e9.1 Factor Models in the Financial Economics Literature 233\u003c\/p\u003e \u003cp\u003e9.2 Mean-Variance Optimization with Factor Models 236\u003c\/p\u003e \u003cp\u003e9.3 Factor Selection in Practice 239\u003c\/p\u003e \u003cp\u003e9.4 Factor Models for Alpha Construction 243\u003c\/p\u003e \u003cp\u003e9.5 Factor Models for Risk Estimation 245\u003c\/p\u003e \u003cp\u003e9.5.1 Macroeconomic Factor Models 245\u003c\/p\u003e \u003cp\u003e9.5.2 Fundamental Factor Models 246\u003c\/p\u003e \u003cp\u003e9.5.3 Statistical Factor Models 248\u003c\/p\u003e \u003cp\u003e9.5.4 Hybrid Factor Models 250\u003c\/p\u003e \u003cp\u003e9.5.5 Selecting the \"Right\" Factor Model 250\u003c\/p\u003e \u003cp\u003e9.6 Data Management and Quality Issues 251\u003c\/p\u003e \u003cp\u003e9.6.1 Data Alignment 252\u003c\/p\u003e \u003cp\u003e9.6.2 Survival Bias 253\u003c\/p\u003e \u003cp\u003e9.6.3 Look-Ahead Bias 253\u003c\/p\u003e \u003cp\u003e9.6.4 Data Snooping 254\u003c\/p\u003e \u003cp\u003e9.7 Risk Decomposition, Risk Attribution, and Performance Attribution 254\u003c\/p\u003e \u003cp\u003e9.8 Factor Investing 256\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 10 Benchmarks and the Use of Tracking Error in Portfolio Construction 260\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e10.1 Tracking Error versus Alpha: Calculation and Interpretation 261\u003c\/p\u003e \u003cp\u003e10.2 Forward-Looking versus Backward-Looking Tracking Error 264\u003c\/p\u003e \u003cp\u003e10.3 Tracking Error and Information Ratio 265\u003c\/p\u003e \u003cp\u003e10.4 Predicted Tracking Error Calculation 265\u003c\/p\u003e \u003cp\u003e10.4.1 Variance-Covariance Method for Tracking Error Calculation 266\u003c\/p\u003e \u003cp\u003e10.4.2 Tracking Error Calculation Based on a Multifactor Model 266\u003c\/p\u003e \u003cp\u003e10.5 Benchmarks and Indexes 268\u003c\/p\u003e \u003cp\u003e10.5.1 Market Indexes 268\u003c\/p\u003e \u003cp\u003e10.5.2 Noncapitalization Weighted Indexes 270\u003c\/p\u003e \u003cp\u003e10.6 Smart Beta Investing 272\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART FOUR Equity Portfolio Management\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 11 Advances in Quantitative Equity Portfolio Management 281\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e11.1 Portfolio Constraints Commonly Used in Practice 282\u003c\/p\u003e \u003cp\u003e11.1.1 Long-Only (No-Short-Selling) Constraints 283\u003c\/p\u003e \u003cp\u003e11.1.2 Holding Constraints 283\u003c\/p\u003e \u003cp\u003e11.1.3 Turnover Constraints 284\u003c\/p\u003e \u003cp\u003e11.1.4 Factor Constraints 284\u003c\/p\u003e \u003cp\u003e11.1.5 Cardinality Constraints 286\u003c\/p\u003e \u003cp\u003e11.1.6 Minimum Holding and Transaction Size Constraints 287\u003c\/p\u003e \u003cp\u003e11.1.7 Round Lot Constraints 288\u003c\/p\u003e \u003cp\u003e11.1.8 Tracking Error Constraints 290\u003c\/p\u003e \u003cp\u003e11.1.9 Soft Constraints 291\u003c\/p\u003e \u003cp\u003e11.1.10 Misalignment Caused by Constraints 291\u003c\/p\u003e \u003cp\u003e11.2 Portfolio Optimization with Tail Risk Measures 291\u003c\/p\u003e \u003cp\u003e11.2.1 Portfolio Value-at-Risk Optimization 292\u003c\/p\u003e \u003cp\u003e11.2.2 Portfolio Conditional Value-at-Risk Optimization 294\u003c\/p\u003e \u003cp\u003e11.3 Incorporating Transaction Costs 297\u003c\/p\u003e \u003cp\u003e11.3.1 Linear Transaction Costs 299\u003c\/p\u003e \u003cp\u003e11.3.2 Piecewise-Linear Transaction Costs 300\u003c\/p\u003e \u003cp\u003e11.3.3 Quadratic Transaction Costs 302\u003c\/p\u003e \u003cp\u003e11.3.4 Fixed Transaction Costs 302\u003c\/p\u003e \u003cp\u003e11.3.5 Market Impact Costs 303\u003c\/p\u003e \u003cp\u003e11.4 Multiaccount Optimization 304\u003c\/p\u003e \u003cp\u003e11.5 Incorporating Taxes 308\u003c\/p\u003e \u003cp\u003e11.6 Robust Parameter Estimation 312\u003c\/p\u003e \u003cp\u003e11.7 Portfolio Resampling 314\u003c\/p\u003e \u003cp\u003e11.8 Robust Portfolio Optimization 317\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 12 Factor-Based Equity Portfolio Construction and Performance Evaluation 325\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e12.1 Equity Factors Used in Practice 325\u003c\/p\u003e \u003cp\u003e12.1.1 Fundamental Factors 326\u003c\/p\u003e \u003cp\u003e12.1.2 Macroeconomic Factors 327\u003c\/p\u003e \u003cp\u003e12.1.3 Technical Factors 327\u003c\/p\u003e \u003cp\u003e12.1.4 Additional Factors 327\u003c\/p\u003e \u003cp\u003e12.2 Stock Screens 328\u003c\/p\u003e \u003cp\u003e12.3 Portfolio Selection 331\u003c\/p\u003e \u003cp\u003e12.3.1 Ad-Hoc Portfolio Selection 331\u003c\/p\u003e \u003cp\u003e12.3.2 Stratification 332\u003c\/p\u003e \u003cp\u003e12.3.3 Factor Exposure Targeting 333\u003c\/p\u003e \u003cp\u003e12.4 Risk Decomposition 334\u003c\/p\u003e \u003cp\u003e12.5 Stress Testing 343\u003c\/p\u003e \u003cp\u003e12.6 Portfolio Performance Evaluation 346\u003c\/p\u003e \u003cp\u003e12.7 Risk Forecasts and Simulation 350\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART FIVE Fixed Income Portfolio Management\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 13 Fundamentals of Fixed Income Portfolio Management 361\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e13.1 Fixed Income Instruments and Major Sectors of the Bond Market 361\u003c\/p\u003e \u003cp\u003e13.1.1 Treasury Securities 362\u003c\/p\u003e \u003cp\u003e13.1.2 Federal Agency Securities 363\u003c\/p\u003e \u003cp\u003e13.1.3 Corporate Bonds 363\u003c\/p\u003e \u003cp\u003e13.1.4 Municipal Bonds 364\u003c\/p\u003e \u003cp\u003e13.1.5 Structured Products 364\u003c\/p\u003e \u003cp\u003e13.2 Features of Fixed Income Securities 365\u003c\/p\u003e \u003cp\u003e13.2.1 Term to Maturity and Maturity 365\u003c\/p\u003e \u003cp\u003e13.2.2 Par Value 366\u003c\/p\u003e \u003cp\u003e13.2.3 Coupon Rate 366\u003c\/p\u003e \u003cp\u003e13.2.4 Bond Valuation and Yield 367\u003c\/p\u003e \u003cp\u003e13.2.5 Provisions for Paying Off Bonds 368\u003c\/p\u003e \u003cp\u003e13.2.6 Bondholder Option Provisions 370\u003c\/p\u003e \u003cp\u003e13.3 Major Risks Associated with Investing in Bonds 371\u003c\/p\u003e \u003cp\u003e13.3.1 Interest Rate Risk 371\u003c\/p\u003e \u003cp\u003e13.3.2 Call and Prepayment Risk 372\u003c\/p\u003e \u003cp\u003e13.3.3 Credit Risk 373\u003c\/p\u003e \u003cp\u003e13.3.4 Liquidity Risk 374\u003c\/p\u003e \u003cp\u003e13.4 Fixed Income Analytics 375\u003c\/p\u003e \u003cp\u003e13.4.1 Measuring Interest Rate Risk 375\u003c\/p\u003e \u003cp\u003e13.4.2 Measuring Spread Risk 383\u003c\/p\u003e \u003cp\u003e13.4.3 Measuring Credit Risk 384\u003c\/p\u003e \u003cp\u003e13.4.4 Estimating Fixed Income Portfolio Risk Using Simulation 384\u003c\/p\u003e \u003cp\u003e13.5 The Spectrum of Fixed Income Portfolio Strategies 386\u003c\/p\u003e \u003cp\u003e13.5.1 Pure Bond Indexing Strategy 387\u003c\/p\u003e \u003cp\u003e13.5.2 Enhanced Indexing\/Primary Factor Matching 388\u003c\/p\u003e \u003cp\u003e13.5.3 Enhanced Indexing\/Minor Factor Mismatches 389\u003c\/p\u003e \u003cp\u003e13.5.4 Active Management\/Larger Factor Mismatches 389\u003c\/p\u003e \u003cp\u003e13.5.5 Active Management\/Full-Blown Active 390\u003c\/p\u003e \u003cp\u003e13.5.6 Smart Beta Strategies for Fixed Income Portfolios 390\u003c\/p\u003e \u003cp\u003e13.6 Value-Added Fixed Income Strategies 391\u003c\/p\u003e \u003cp\u003e13.6.1 Interest Rate Expectations Strategies 391\u003c\/p\u003e \u003cp\u003e13.6.2 Yield Curve Strategies 392\u003c\/p\u003e \u003cp\u003e13.6.3 Inter- and Intra-sector Allocation Strategies 393\u003c\/p\u003e \u003cp\u003e13.6.4 Individual Security Selection Strategies 394\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 14 Factor-Based Fixed Income Portfolio Construction and Evaluation 398\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e14.1 Fixed Income Factors Used in Practice 398\u003c\/p\u003e \u003cp\u003e14.1.1 Term Structure Factors 399\u003c\/p\u003e \u003cp\u003e14.1.2 Credit Spread Factors 400\u003c\/p\u003e \u003cp\u003e14.1.3 Currency Factors 401\u003c\/p\u003e \u003cp\u003e14.1.4 Emerging Market Factors 401\u003c\/p\u003e \u003cp\u003e14.1.5 Volatility Factors 402\u003c\/p\u003e \u003cp\u003e14.1.6 Prepayment Factors 402\u003c\/p\u003e \u003cp\u003e14.2 Portfolio Selection 402\u003c\/p\u003e \u003cp\u003e14.2.1 Stratification Approach 403\u003c\/p\u003e \u003cp\u003e14.2.2 Optimization Approach 405\u003c\/p\u003e \u003cp\u003e14.2.3 Portfolio Rebalancing 408\u003c\/p\u003e \u003cp\u003e14.3 Risk Decomposition 410\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 15 Constructing Liability-Driven Portfolios 420\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e15.1 Risks Associated with Liabilities 421\u003c\/p\u003e \u003cp\u003e15.1.1 Interest Rate Risk 421\u003c\/p\u003e \u003cp\u003e15.1.2 Inflation Risk 422\u003c\/p\u003e \u003cp\u003e15.1.3 Longevity Risk 423\u003c\/p\u003e \u003cp\u003e15.2 Liability-Driven Strategies of Life Insurance Companies 423\u003c\/p\u003e \u003cp\u003e15.2.1 Immunization 424\u003c\/p\u003e \u003cp\u003e15.2.2 Advanced Optimization Approaches 435\u003c\/p\u003e \u003cp\u003e15.2.3 Constructing Replicating Portfolios 437\u003c\/p\u003e \u003cp\u003e15.3 Liability-Driven Strategies of Defined Benefit Pension Funds 438\u003c\/p\u003e \u003cp\u003e15.3.1 High-Grade Bond Portfolio Solution 439\u003c\/p\u003e \u003cp\u003e15.3.2 Including Other Assets 442\u003c\/p\u003e \u003cp\u003e15.3.3 Advanced Modeling Strategies 443\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART SIX Derivatives and Their Application to Portfolio Management\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 16 Basics of Financial Derivatives 449\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e16.1 Overview of the Use of Derivatives in Portfolio Management 449\u003c\/p\u003e \u003cp\u003e16.2 Forward and Futures Contracts 451\u003c\/p\u003e \u003cp\u003e16.2.1 Risk and Return of Forward\/Futures Position 453\u003c\/p\u003e \u003cp\u003e16.2.2 Leveraging Aspect of Futures 453\u003c\/p\u003e \u003cp\u003e16.2.3 Pricing of Futures and Forward Contracts 454\u003c\/p\u003e \u003cp\u003e16.3 Options 459\u003c\/p\u003e \u003cp\u003e16.3.1 Risk and Return Characteristics of Options 460\u003c\/p\u003e \u003cp\u003e16.3.2 Option Pricing Models 470\u003c\/p\u003e \u003cp\u003e16.4 Swaps 485\u003c\/p\u003e \u003cp\u003e16.4.1 Interest Rate Swaps 485\u003c\/p\u003e \u003cp\u003e16.4.2 Equity Swaps 486\u003c\/p\u003e \u003cp\u003e16.4.3 Credit Default Swaps 487\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 17 Using Derivatives in Equity Portfolio Management 490\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e17.1 Stock Index Futures and Portfolio Management Applications 490\u003c\/p\u003e \u003cp\u003e17.1.1 Basic Features of Stock Index Futures 490\u003c\/p\u003e \u003cp\u003e17.1.2 Theoretical Price of a Stock Index Futures Contract 491\u003c\/p\u003e \u003cp\u003e17.1.3 Portfolio Management Strategies with Stock Index Futures 494\u003c\/p\u003e \u003cp\u003e17.2 Equity Options and Portfolio Management Applications 504\u003c\/p\u003e \u003cp\u003e17.2.1 Types of Equity Options 504\u003c\/p\u003e \u003cp\u003e17.2.2 Equity Portfolio Management Strategies with Options 506\u003c\/p\u003e \u003cp\u003e17.3 Equity Swaps 511\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 18 Using Derivatives in Fixed Income Portfolio Management 515\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e18.1 Controlling Interest Rate Risk Using Treasury Futures 515\u003c\/p\u003e \u003cp\u003e18.1.1 Strategies for Controlling Interest Rate Risk with Treasury Futures 518\u003c\/p\u003e \u003cp\u003e18.1.2 Pricing of Treasury Futures 520\u003c\/p\u003e \u003cp\u003e18.2 Controlling Interest Rate Risk Using Treasury Futures Options 521\u003c\/p\u003e \u003cp\u003e18.2.1 Strategies for Controlling Interest Rate Risk Using Treasury Futures Options 524\u003c\/p\u003e \u003cp\u003e18.2.2 Pricing Models for Treasury Futures Options 526\u003c\/p\u003e \u003cp\u003e18.3 Controlling Interest Rate Risk Using Interest Rate Swaps 527\u003c\/p\u003e \u003cp\u003e18.3.1 Strategies for Controlling Interest Rate Risk Using Interest Rate Swaps 528\u003c\/p\u003e \u003cp\u003e18.3.2 Pricing of Interest Rate Swaps 530\u003c\/p\u003e \u003cp\u003e18.4 Controlling Credit Risk with Credit Default Swaps 532\u003c\/p\u003e \u003cp\u003e18.4.1 Strategies for Controlling Credit Risk with Credit Default Swaps 534\u003c\/p\u003e \u003cp\u003e18.4.2 General Principles for Valuing a Single-Name Credit Default Swap 535\u003c\/p\u003e \u003cp\u003eAppendix: Basic Linear Algebra Concepts 541\u003c\/p\u003e \u003cp\u003eReferences 549\u003c\/p\u003e \u003cp\u003eIndex 563\u003c\/p\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default 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