E-Book, Englisch, Band 605, 140 Seiten
Puhle Bond Portfolio Optimization
1. Auflage 2008
ISBN: 978-3-540-76593-6
Verlag: Springer Berlin Heidelberg
Format: PDF
Kopierschutz: 1 - PDF Watermark
E-Book, Englisch, Band 605, 140 Seiten
Reihe: Lecture Notes in Economics and Mathematical Systems
ISBN: 978-3-540-76593-6
Verlag: Springer Berlin Heidelberg
Format: PDF
Kopierschutz: 1 - PDF Watermark
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.
Autoren/Hrsg.
Weitere Infos & Material
1;Acknowledgements;5
2;Contents;6
3;Abbreviations;9
4;Commonly Used Symbols;10
5;1 Introduction;12
6;2 Bond Market Terminology;16
6.1;2.1 Characteristics of Bonds;16
6.2;2.2 Interest Rates;17
6.3;2.3 Term Structure of Interest Rates;19
6.4;2.4 Estimating the Term Structure of Interest Rates;20
6.5;2.5 Classical Theories of the Term Structure of Interest Rates;21
6.6;2.6 Arbitrage-Free Term Structure Theories;22
6.7;2.7 Empirical Properties of the Term Structure of Interest Rates;22
7;3 Term Structure Modeling in Continuous Time;23
7.1;3.1 Introduction;23
7.2;3.2 Interest Rate Modeling Approaches;24
7.3;3.3 Heath/Jarrow/Morton (1992);27
7.4;3.4 Vasicek (1977);33
7.5;3.5 Hull/White (1994);40
7.6;3.6 Summary and Conclusion;49
8;4 Static Bond Portfolio Optimization;51
8.1;4.1 Introduction;51
8.2;4.2 Static Bond Portfolio Selection in Theory;51
8.3;4.3 Static Bond Portfolio Selection in Practice;76
9;5 Dynamic Bond Portfolio Optimization in Continuous Time;95
9.1;5.1 Introduction;95
9.2;5.2 Bond Portfolio Selection Problem in a HJM Framework;97
9.3;5.3 Special Cases;106
9.4;5.4 International Bond Investing;115
9.5;5.5 Summary and Conclusion;123
10;6 Summary and Conclusion;124
11;A Heath/Jarrow/Morton (1992);127
11.1;A.1 Dynamics of Zero-Coupon Bonds;127
11.2;A.2 Arbitrage-Free Pricing;128
11.3;A.3 HJM Drift Condition;129
11.4;A.4 Special Case: Hull/White (1994);130
12;B Dynamic Bond Portfolio Optimization;131
13;C Dynamic Bond Portfolio Optimization;132
13.1;C.1 Vasicek (1977);132
13.2;C.2 Hull/White (1994);132
13.3;C.3 International Bond Portfolio Selection;133
14;References;134
15;List of Tables;141
16;List of Figures;143
