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11.Эффект риска досрочного отзыва с точки зрения среднего срока (и иммунизации) рассмотрен в работе:

КцП Winkelmann, «Uses and Abuses of Duration and Convexity*, Financial Analysts Journal, 45, no. 5 (September/October 1989), pp. 72-75.

12.Обсуждение вопроса об использовании среднего срока для оценки риска, связанного с иностранными облигациями, см.:

Steven I. Dym, «Measuring the Risk of Foreign Bonds», Journal of Portfolio Management, 17, no. 2 (Winter 1991), pp. 56-61.

Steven Dym, «Global and Local Components of Foreign Bond Risk», Financial Analysts Journal, 48, no. 2 (March/April 1992), pp. 83-91.

13.Портфели связанных облигаций и условная иммунизация рассмотрены в работах:

Martin L. Leibowitz and Alfred Weinberger, «Contingent Immunization-Part I: Risk Control Procedures*, Financial Analysts Journal, 38, no. 6 (November/December 1982), pp. 17-31.

Martin L. Leibowitz and Alfred Weinberger, «Contingent Immunization-Part II: Problem Areas», Financial Analysts Journal, 39, no. 1 (January/February 1983), pp. 39-50. Martin L. Leibowitz, «The Dedicated Bond Portfolio in Pension Funds-Part I: Motivations and Basics*, Financial Analysts Journal, 42, no. 1 (January/February 1986), pp. 69-75. Martin L. Leibowitz, «The Dedicated Bond Portfolio in Pension Funds-Part II: Immunization, Horizon Matching, and Contingent Procedures*, Financial Analysts Journal, 42, no. 2 (March/April 1986), pp. 47-57.

14.Анализ горизонта и облигационного свопа см. в работах:

Sidney Homer and Martin L. Leibowitz, Inside the Yield Book (Englewood Cliffs, NJ: Prentice Hall, 1972), Chapters 6-7.

Martin L. Leibowitz, «Horizon Analysis for Managed Bond Portfolios*, Journal of Portfolio Management, 1, no. 3 (Spring 1975), pp. 23-34.

Martin L. Leibowitz, «An Analytic Approach to the Bond Market*, in Financial Analysts Handbook, ed. Sumner N. Levine (Homewood, IL: Dow Jones-Irwin, 1975), pp. 226-277. Marcia Stigum and Frank J. Fabozzi, The Dow Jones-Irwin Guide to Bond and Money Market Investments (Homewood, IL: Dow Jones-Irwin, 1987), Chapter 16.

15.Различные стратегии кривых доходности рассмотрены в работах:

Jerome S. Osteryoung, Gordon S. Roberts, and Daniel E. McCarty «Ride the Yield Curve When Investing Idle Funds in Treasury Bills?*, Financial Executiver, 47, no. 4 (April 1979), pp. 10-15.

Edward A. Dyl and Michael D. Joehnk, «Riding the Yield Curve: Does It Work?* Journal of Portfolio Management, 7 , no. 3 (Spring 1981), pp. 13-17.

Marcia Stigum and Frank J. Fabozzi, The Dow Jones-Irwin Guide to Bond and Money Market Investments (Homewood, IL: Dow Jones-Irwin, 1987), pp. 270-272. Frank J. Jones, «Yield Curve Strategies*, Journal of Fixed Income, 1, no. 2 (September 1991), pp. 43-51.

Robin Grieves and Alan J. Marcus, «Riding the Yield Curve: Reprise*, Journal of Portfolio Management, 18, no. 4 (Summer 1992), pp. bl-lb.

16.Стратегии вложений в облигации анализируются также в работах:

Ehud I. Ronn, «А New Linear Programming Approach to Bond Portfolio Management*, Journal of Financial and Quantitative Analysis, 22, no. 4 (December 1987), pp. 439-466. Michael C. Ehrhardt, «A New Linear Programming Approach to Bond Portfolio Management: A Comment*, Journal of Financial and Quantitative Analysis, 24, no. 4 (December 1989), pp. 533-537.



Randall S. Hillerand Christian Schaack, «А Classification of Structured Bond Portfolio IVIodeling Techniques», Journal of Portfolio Management, 17, no. 1 (Fall 1990), pp. 37-48. Frank J. Fabozzi, Bond Markets, Analysis and Strategies (Englewood Cliffs, NJ: Prentice Hall, 1993), in particular Chapters 20-22.

17.Интересное обсуждение вопроса о том, какое сочетание облигаций и акций целесообразно с точки зрения инвестора, см. в работах:

Martin L. Leibowitz and William S. Krasker, «The Persistence of Risk: Stocks Versus Bonds Over the Long Term», Financial Analysts Journal, 44, no. 6 (November/December 1988), pp. 40-47.

Paul A. Samuelson, «The Judgment of Economic Science on Rational Portfolio Management: Indexing, Timing and Long-Horizon Effects», Journal of Portfolio Management, 16, no. 1 (Fall 1989), pp. 4-12.

Martin L. Leibowitz and Terence C. Langetieg, «Shortfall Risk and the Asset Allocation Decision: A Simulation Analysis of Stock and Bond Profiles*, Journal of Portfolio Management,

16,no. 1 (Fall 1989), pp. 61-68.

Keith P. Ambachtscheer, «The Persistence of Investment Risk», Journal of Portfolio Management, 16, no. 1 (Fall 1989), pp. 69-71.

Kirt C. Butler and Dale L. Domian, «Risk, Diversification, and the Investment Horizon*, Journal of Portfolio Management, 17, no. 3 (Spring 1991), pp. 41-47.

18.Управление пенсионным фондом анализируется в работах:

Martin L. Leibowitz, «Total Portfolio Duration: A New Perspective on Asset Allocation*, Financial Analysts Journal, 42, no. 5 (September/October 1986), pp. 18-29, 77. Martin L. Leibowitz and Roy D. Henriksson, «Portfolio Optimization Within an Suфlus Framework*, Financial Analysts Journal, 44, no. 2 (March/April 1988), pp. 43-51. William F. Sharpe, «Liabilities - A New Approach*, Journal of Portfolio Management, 16, no. 2 (Winter 1990), pp. 4-10.

19.Эмпирические закономерности рынка облигаций исследуются в работах:

Eric С. Chang and J. Michael Pinegar, «Return Seasonality and Tax-Loss SeUing in the Market for Long-Term Government and Софога1е Bonds*, Journal of Financial Economics,

17,no. 2 (December 1986), pp. 391-415.

Eric C. Chang and Roger D. Huang, «Time-Varying Return and Risk in the Coфorate Bond Market*, Journal of Financial and Quantitative Analysis, 25, no. 3 (September 1990), pp. 323-340.

Susan D. Jordan and Bradford D. Jordan, «Seasonality in Daily Bond Returns*, Journal of Financial and Quantitative Analysis, 26, no. 2 (June 1991), pp. 269-285.

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