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. |
|---|---|
| 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: |
Table of Contents:
- 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.