Bond Portfolio Optimization Michael Puhle

ISBN: 9783540845713

Published: August 28th 2008

Paperback

156 pages


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Bond Portfolio Optimization  by  Michael Puhle

Bond Portfolio Optimization by Michael Puhle
August 28th 2008 | Paperback | PDF, EPUB, FB2, DjVu, talking book, mp3, RTF | 156 pages | ISBN: 9783540845713 | 7.72 Mb

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 ofMoreThe 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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