Modern Multi-Factor Analysis of Bond Portfolios: Critical Implications for Hedging and Investing

1. Introduction
Giovanni Barone Adesi, Nicola Carcano

2. Adjusting Principal Component Analysis for Model Errors
Nicola Carcano

3. Alternative Models for Hedging Yield Curve Risk: An Empirical Comparison
Nicola Carcano, Hakim Dall’O

4. Applying Error-Adjusted Hedging to Corporate Bond Portfolios
Giovanni Barone Adesi, Nicola Carcano, Hakim Dall’O

5. Credit Risk Premium: Measurement, Interpretation and Portfolio Allocation
Radu C. Gabudean, Kwok Yuen Ng, Bruce D. Phelps

6. Overall Conclusion
Giovanni Barone Adesi, Nicola Carcano

Keywords: Finance, Investments and Securities, Corporate Finance, Banking