Bond portfolio optimization
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...
Main Author: | Puhle, Michael. |
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Other Authors: | SpringerLink (Online service) |
Format: | eBook |
Language: | English |
Published: |
New York ; London :
Springer,
2008.
New York ; London : 2008. |
Physical Description: |
1 online resource (xiv, 136 pages). |
Series: |
Lecture notes in economics and mathematical systems ;
605. |
Subjects: |
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. |
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Item Description: |
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. 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. Includes bibliographical references. |
Physical Description: |
1 online resource (xiv, 136 pages). |
Bibliography: |
Includes bibliographical references. |
ISBN: |
9783540765936 354076593X 3540765921 9783540765929 |