Bond Portfolio Optimization

• Main Author: Puhle, Michael (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2008.
• Series: Lecture Notes in Economics and Mathematical Systems, 605
• Subjects: Finance.; Operations research.; Decision making.; Economics, Mathematical.; Mathematical optimization.; Finance, general.; Quantitative Finance.; Operation Research/Decision Theory.; Optimization.

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...

Table of Contents:

• Bond Market Terminology
• Term Structure Modeling in Continuous Time
• Static Bond Portfolio Optimization
• Dynamic Bond Portfolio Optimization in Continuous Time
• Summary and Conclusion.