Bond Portfolio Optimization
| Author | : Michael Puhle |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 143 |
| Release | : 2008-01-08 |
| ISBN-10 | : 9783540765936 |
| ISBN-13 | : 354076593X |
| Rating | : 4/5 (93X Downloads) |
Book Synopsis Bond Portfolio Optimization by : Michael Puhle
Download or read book Bond Portfolio Optimization written by Michael Puhle and published by Springer Science & Business Media. This book was released on 2008-01-08 with total page 143 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.