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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.
Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.
Contenuti
Bond Market Terminology.- Term Structure Modeling in Continuous Time.- Static Bond Portfolio Optimization.- Dynamic Bond Portfolio Optimization in Continuous Time.- Summary and Conclusion.
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Book by Puhle Michael
Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.
- EditoreSpringer
- Data di pubblicazione2008
- ISBN 10 3540765921
- ISBN 13 9783540765929
- RilegaturaCopertina flessibile
- LinguaInglese
- Numero di pagine156
- Contatto del produttore{language_tag:it_IT,value:"Springer Nature Customer Service Center GmbH; ProductSafety@springernature.com"}
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Bond Portfolio Optimization
Editore:
Springer Berlin Heidelberg, 2008
ISBN 10: 3540765921
ISBN 13: 9783540765929
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Condizione: Sehr gut. Zustand: Sehr gut | Seiten: 156 | Sprache: Englisch | Produktart: Bücher. Codice articolo 4066503/202
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Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Includes supplementary material: sn.pub/extrasThe 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, exam. Codice articolo 6602718
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Bond Portfolio optimization
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Springer International Publishing AG, Heidelberg, 2008
ISBN 10: 3540765921
ISBN 13: 9783540765929
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Bond Portfolio Optimization
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Springer Berlin Heidelberg Jan 2008, 2008
ISBN 10: 3540765921
ISBN 13: 9783540765929
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Da: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germania
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Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 156 pp. Englisch. Codice articolo 9783540765929
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Bond Portfolio Optimization
Editore:
Springer Berlin Heidelberg, 2008
ISBN 10: 3540765921
ISBN 13: 9783540765929
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Taschenbuch. Condizione: Neu. Druck auf Anfrage Neuware - Printed after ordering - 1 The tools of modern portfolio theory are in general use in the equity markets, either in the form of portfolio optimization software or as an accepted frame- 2 work in which the asset managers think about stock selection. In the xed income market on the other hand, these tools seem irrelevant or inapplicable. Bond portfolios are nowadays mainly managed by a comparison of portfolio 3 4 risk measures vis a vis a benchmark. The portfolio manager's views about the future evolution of the term structure of interest rates translate th- selves directly into a positioning relative to his benchmark, taking the risks of these deviations from the benchmark into account only in a very crude 5 fashion, i.e. without really quantifying them probabilistically. This is quite surprising since sophisticated models for the evolution of interest rates are commonly used for interest rate derivatives pricing and the derivation of xed 6 income risk measures. Wilhelm (1992) explains the absence of modern portfolio tools in the xed 7 income markets with two factors: historically relatively stable interest rates and systematic di erences between stocks and bonds that make an application of modern portfolio theory di-cult. These systematic di erences relate mainly to the xed maturity of bonds. Whereas possible future stock prices become more dispersed as the time horizon widens, the bond price at maturity is 8 xed. This implies that the probabilistic models for stocks and bonds have 1 Starting with the seminal work of Markowitz (1952). Codice articolo 9783540765929
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Bond Portfolio Optimization
ISBN 10: 3540765921
ISBN 13: 9783540765929
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Da: buchversandmimpf2000, Emtmannsberg, BAYE, Germania
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Taschenbuch. Condizione: Neu. Neuware -1 The tools of modern portfolio theory are in general use in the equity markets, either in the form of portfolio optimization software or as an accepted frame- 2 work in which the asset managers think about stock selection. In the xed income market on the other hand, these tools seem irrelevant or inapplicable. Bond portfolios are nowadays mainly managed by a comparison of portfolio 3 4 risk measures vis a vis a benchmark. The portfolio manager¿s views about the future evolution of the term structure of interest rates translate th- selves directly into a positioning relative to his benchmark, taking the risks of these deviations from the benchmark into account only in a very crude 5 fashion, i.e. without really quantifying them probabilistically. This is quite surprising since sophisticated models for the evolution of interest rates are commonly used for interest rate derivatives pricing and the derivation of xed 6 income risk measures. Wilhelm (1992) explains the absence of modern portfolio tools in the xed 7 income markets with two factors: historically relatively stable interest rates and systematic di erences between stocks and bonds that make an application of modern portfolio theory di¿cult. These systematic di erences relate mainly to the xed maturity of bonds. Whereas possible future stock prices become more dispersed as the time horizon widens, the bond price at maturity is 8 xed. This implies that the probabilistic models for stocks and bonds have 1 Starting with the seminal work of Markowitz (1952).Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 156 pp. Englisch. Codice articolo 9783540765929
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Bond Portfolio Optimization (Lecture Notes in Economics and Mathematical Systems, 605)
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Bond Portfolio Optimization
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Bond Portfolio Optimization (Lecture Notes in Economics and Mathematical Systems, 605)
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Bond Portfolio Optimization (Lecture Notes in Economics and Mathematical Systems (605))
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