000 03407nam a22005055i 4500
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
024 7 _a10.1007/978-3-540-76593-6
_2doi
050 4 _aHG1-HG9999
072 7 _aKFF
_2bicssc
072 7 _aBUS027000
_2bisacsh
082 0 4 _a332
_223
100 1 _aPuhle, Michael.
_eauthor.
245 1 0 _aBond Portfolio Optimization
_h[electronic resource] /
_cby Michael Puhle.
264 1 _aBerlin, Heidelberg :
_bSpringer Berlin Heidelberg,
_c2008.
300 _aXIV, 140 p.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 1 _aLecture Notes in Economics and Mathematical Systems,
_x0075-8442 ;
_v605
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