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Bond portfolio optimization

Author: Michael Puhle
Publisher: New York ; London : Springer, 2008.
Series: Lecture notes in economics and mathematical systems, 605.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Puhle, Michael.
Bond portfolio optimization.
New York ; London : Springer, 2008
(OCoLC)180479133
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Michael Puhle
ISBN: 9783540765936 354076593X 3540765921 9783540765929
OCLC Number: 233973681
Description: 1 online resource (xiv, 136 pages).
Contents: 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.
Series Title: Lecture notes in economics and mathematical systems, 605.
Responsibility: Michael Puhle.

Abstract:

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,  Read more...

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