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Bond Portfolio Optimization / by Michael Puhle
Contributor(s): Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Series: SpringerLink BücherPublisher: Berlin, Heidelberg : Springer-Verlag Berlin Heidelberg, 2008Description: Online-Ressource (XIV, 137 p., 14 illus, digital)ISBN:- 9783540765936
- 657.8333
- 658.152
- 332.6323
- 650
- 330
- HG1-9999 HG4501-6051 HG1501-HG3550
- HG4651
Contents:
Summary: The book analyzes how modern portfolio theory and dynamic term structure models can be applied to government bond portfolio optimization problems. The author studies the necessary adjustments, examines the models with regard to the plausibility of their results and compares the outcomes to portfolio selection techniques used by practitioners. Both single-period and continuous-time bond portfolio optimization problems are considered.Summary: The book analyzes how modern portfolio theory and dynamic term structure models can be applied to government bond portfolio optimization problems. The author studies the necessary adjustments, examines the models with regard to the plausibility of their results and compares the outcomes to portfolio selection techniques used by practitioners. Both single-period and continuous-time bond portfolio optimization problems are consideredPPN: PPN: 1646502868Package identifier: Produktsigel: ZDB-2-SBE
Front Matter; Introduction; Bond Market Terminology; Term Structure Modeling in Continuous Time; Static Bond Portfolio Optimization; Dynamic Bond Portfolio Optimization in Continuous Time; Summary and Conclusion; Back Matter
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