000 | 03407nam a22005055i 4500 | ||
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001 | 978-3-540-76593-6 | ||
003 | DE-He213 | ||
005 | 20161121231003.0 | ||
007 | cr nn 008mamaa | ||
008 | 100301s2008 gw | s |||| 0|eng d | ||
020 |
_a9783540765936 _9978-3-540-76593-6 |
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024 | 7 |
_a10.1007/978-3-540-76593-6 _2doi |
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050 | 4 | _aHG1-HG9999 | |
072 | 7 |
_aKFF _2bicssc |
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072 | 7 |
_aBUS027000 _2bisacsh |
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082 | 0 | 4 |
_a332 _223 |
100 | 1 |
_aPuhle, Michael. _eauthor. |
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245 | 1 | 0 |
_aBond Portfolio Optimization _h[electronic resource] / _cby Michael Puhle. |
264 | 1 |
_aBerlin, Heidelberg : _bSpringer Berlin Heidelberg, _c2008. |
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300 |
_aXIV, 140 p. _bonline resource. |
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336 |
_atext _btxt _2rdacontent |
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_acomputer _bc _2rdamedia |
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_aonline resource _bcr _2rdacarrier |
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_atext file _bPDF _2rda |
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490 | 1 |
_aLecture Notes in Economics and Mathematical Systems, _x0075-8442 ; _v605 |
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505 | 0 | _aBond Market Terminology -- Term Structure Modeling in Continuous Time -- Static Bond Portfolio Optimization -- Dynamic Bond Portfolio Optimization in Continuous Time -- Summary and Conclusion. | |
520 | _a1 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 inapplicable. Bond portfolios are nowadays mainly managed by a comparison of portfolio 3 4 risk measures vis ¶a vis a benchmark. The portfolio manager’s views about the future evolution of the term structure of interest rates translate th- selves directly into a positioning relative to his benchmark, taking the risks of these deviations from the benchmark into account only in a very crude 5 fashion, i.e. without really quantifying them probabilistically. This is quite surprising since sophisticated models for the evolution of interest rates are commonly used for interest rate derivatives pricing and the derivation of ?xed 6 income risk measures. Wilhelm (1992) explains the absence of modern portfolio tools in the ?xed 7 income markets with two factors: historically relatively stable interest rates and systematic di?erences between stocks and bonds that make an application of modern portfolio theory di–cult. These systematic di?erences relate mainly to the ?xed maturity of bonds. Whereas possible future stock prices become more dispersed as the time horizon widens, the bond price at maturity is 8 ?xed. This implies that the probabilistic models for stocks and bonds have 1 Starting with the seminal work of Markowitz (1952). | ||
650 | 0 | _aFinance. | |
650 | 0 | _aOperations research. | |
650 | 0 | _aDecision making. | |
650 | 0 | _aEconomics, Mathematical. | |
650 | 0 | _aMathematical optimization. | |
650 | 1 | 4 | _aFinance. |
650 | 2 | 4 | _aFinance, general. |
650 | 2 | 4 | _aQuantitative Finance. |
650 | 2 | 4 | _aOperation Research/Decision Theory. |
650 | 2 | 4 | _aOptimization. |
710 | 2 | _aSpringerLink (Online service) | |
773 | 0 | _tSpringer eBooks | |
776 | 0 | 8 |
_iPrinted edition: _z9783540765929 |
830 | 0 |
_aLecture Notes in Economics and Mathematical Systems, _x0075-8442 ; _v605 |
|
856 | 4 | 0 | _uhttp://dx.doi.org/10.1007/978-3-540-76593-6 |
912 | _aZDB-2-SBE | ||
950 | _aBusiness and Economics (Springer-11643) | ||
999 |
_c506867 _d506867 |