AUTHOR
Puhle, Michael
TITLE
Bond Portfolio Optimization / Michael Puhle.
PUBLISHER/YEAR
New York
Springer 2008
ISBN
9783540765929
|
Annotation
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