Bond Portfolio Optimization (Lecture Notes in Economics and Mathematical Systems) (by Michael Puhle)


Author(s): Michael Puhle

Publisher: Springer
Publish date: 2008-02-13
ISBN-10: 3540765921
ISBN-13: 9783540765929
Language: English
Description:
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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