Handbook of Inflation Indexed Bonds

by Brynjolfsson, John; Fabozzi, Frank J.

• ISBN13: 9781883249489
• ISBN10: 1883249481
• Edition: 1st
• Format: Hardcover
• Copyright: 1999-02-15
• Publisher: Wiley

Summary

Handbook of Inflation Indexed Bonds provides complete coverage of inflation protection bonds beginning with their first U.S. issuance in 1997. Five, in-depth sections detail: strategic asset allocation; mechanics, valuation, and risk monitoring; global environment; issuers; and investors.

Author Biography

Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and Adjunct Professor of Finance at Yale University’s School of Management.

Table of Contents

Contributing Authors	v
Foreword	vi
Wiliam H. Gross
Introduction	1	(2)
John Brynjolfsson
Frank J. Fabozzi
SECTION I: STRATEGIC ASSET ALLOCATION	3	(84)
Musings About Real Asset Allocation	5	(6)
John Brynjolfsson
Shifting the Efficient Frontier with Inflation-Indexed Bonds	11	(10)
Raymond T. Dalio
Daniel S. Bernstein
Using Inflation-Indexed Securities for Retirement Savings and Income: The TIAA-CREF Experience	21	(22)
P. Brett Hammond
Recognizing and Achieving Strategic Investment Goals	43	(20)
Barbara J. Moore
Inflation Hedging in a Low-Inflation World: The Plan Sponsor's Rationale	63	(1)
Laurence B. Siegel
Asset Allocation with TIPS	63	(24)
John Brynjolfsson
Edward P. Rennie
SECTION II: MECHANICS, VALUATION, AND RISK MONITORING	87	(96)
Quantitative Approaches to Inflation-Indexed Bonds	89	(28)
Wesley Phoa
Valuing and Trading TIPS	117	(24)
Gerald Lucas
Timothy Quek
Understanding the CPI	141	(16)
William Kan
Understanding the Inflation Risk Premium	157	(26)
P. Brett Hammond
Andrew C. Fairbanks
J. Benson Durham
SECTION III: GLOBAL ENVIRONMENT: PAST AND PRESENT	183
The U.K. Experience	185	(10)
Mark Deacon
The Austratian Experience	195	(10)
Michael Chadwick
The Canadian Experience	205	(12)
Karim Basta
Martin Klaponski
The U.S. Experience	217	(12)
Roger L. Anderson
The French Experience	229
Ciaran O'Hagan
SECTION IV: ISSUERS	23?	(255)
Arguments for Issuing Linkers	239	(10)
William T. Lloyd
Corporate and Agency Inflation-Linked Securities	249	(6)
Andrew Rosen
Michael Schumacher
John Casaudoumecq
SECTION V: INVESTORS	255
The Individual Investor and Inflation-Indexed Bonds: Tax Issues and Retirement Planning	257
Christopher F. Kinney
Inflation Indexed Products for Stable Value Funds	269
David B. LeRoux
Victor A. Gallo
Inflation Protection Bonds and Endowment or Foundation Investment Policy	279
William A. Schneider
Foundation Applications	285
Alan Heuberger
Index