Quantitative management of bond portfolios

Value of security selection vs. asset allocation in credit markets

Value of skill in macro strategies for global fixed-income investing

Cost of the no-leverage constraint in duration timing : index replication

Replicating the Lehman Brothers U.S. aggregate index with liquid instruments

Replicating the Lehman Brothers global aggregate index with liquid instruments

Tradable proxy portfolios for the Lehman Brothers MBS index

High-yield index replication

CMBS index replication : benchmark customization

Evaluating performance of long-horizon portfolios

Liability-based benchmarks

Swap indices

Benchmarks for asset swapped portfolios

Issuer-capped and downgrade-tolerant U.S. corporate indices : managing credit portfolios

Sufficient diversification in credit portfolios

Return performance of investment-grade bonds after distress

Optimal credit allocation for buy-and-hold investors

A quick look at index tails

Are credit markets globally integrated? : managing mortgage portfolios

Managing against the Lehman Brothers MBS index : prices and returns

Evaluating measures of MBS duration

MBS investing over long horizons : managing central bank reserves

Total return management of central bank reserves

The prospects of negative annual total returns in short-duration treasury benchmarks

Effect of security selection skill on optimal sector allocation

Risk budget allocation to issuer and sector views

Multifactor risk modeling and performance attribution

The global risk model : a portfolio manager's guide

The hybrid performance attribution model

Insights on duration and convexity

Portfolio yields and durations

Computing excess return of spread securities

Currency-hedged returns in fixed-income indices

The bund-treasury trade in portfolios

Empirical duration of credit securities

Duration times spread : a new measure of spread risk for credit securities

Hedging debt with equity.