Using Derivatives in Bond Portfolio Management

Frank J. Fabozzi and Francesco A. Fabozzi

Chapter 18 in Fundamentals of Institutional Asset Management, 2020, pp 519-551 from World Scientific Publishing Co. Pte. Ltd.

Abstract: For many portfolio strategies, derivative instruments provide a more efficient vehicle for obtaining the objective sought by the asset manager. We explained how this is done for equity strategies in Chapter 14. In this chapter, we explain how interest rate derivatives — futures, options, swaps — and credit derivatives can be used in bond portfolio management.

Keywords: Investment Risks; Investment Vehicles; Portfolio Theory; Asset Pricing Theory; Mean-Variance Analysis; Measuring Return; Measuring Risk; Company Equity Analysis; Equity Valuation Models; Common Stock Alpha Strategies; Common Stock Beta Strategies; Smart Beta Strategies; Factor Investing; Equity Indexing; Equity Derivatives; Bond Analytics; Bond Pricing; Interest Rate Risk; Duration; Interest Rate Derivatives; Credit Derivatives; Multi-Asset Portfolio Strategies; Collective Investment Vehicles; Alternative Assets (search for similar items in EconPapers)
JEL-codes: G1 G11 G3 G30 (search for similar items in EconPapers)
Date: 2020
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