Bond Portfolio Optimization

by Michael Puhle

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.

MoreLess

Year of publication:	2008
Other Persons:	Puhle, Michael (contributor)
Publisher:	Berlin, Heidelberg : Springer-Verlag Berlin Heidelberg
Subject:	Anleihe \| Bond \| Portfolio-Management \| Portfolio selection \| Zinsstruktur \| Yield curve \| Theorie \| Theory \| Staatsanleihe \| Portfolio Selection
Description of contents:	Table of Contents [swbplus.bsz-bw.de] ; Description [swbplus.bsz-bw.de] ; Description [zbmath.org]

Extent:	Online-Ressource (XIV, 137 p., 14 illus, digital)
Series:	SpringerLink / Bücher
Type of publication:	Book / Working Paper
Language:	English
Notes:	Literaturverz. S. 127 - 133 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
ISBN:	978-3-540-76593-6 ; 978-3-540-76592-9
Other identifiers:	10.1007/978-3-540-76593-6 [DOI]
Classification:	Methoden und Techniken der Betriebswirtschaft ; Wahrscheinlichkeitsrechnung ; Investition, Finanzierung
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013520895