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13-04-2015, 02:59

Bond Portfolio Optimization

Category: E-Books

Bond Portfolio Optimization

Michael Puhle, "Bond Portfolio Optimization"
2008 | pages: 143 | ISBN: 3540765921 | PDF | 1,2 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 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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