Bond Portfolio Optimization
E-Book
Bond Portfolio Optimization
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.
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
Puhle, Michael
| ISBN | 9783540765936 |
|---|---|
| Artikelnummer | 9783540765936 |
| Medientyp | E-Book - PDF |
| Auflage | 2. Aufl. |
| Copyrightjahr | 2008 |
| Verlag | Springer-Verlag |
| Umfang | 140 Seiten |
| Sprache | Englisch |
| Kopierschutz | Digitales Wasserzeichen |
