Bond Portfolio Optimization

Language: English

Published by Springer, 2008

3540765921 / 9783540765929

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Druck auf Anfrage Neuware - Printed after ordering - 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 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).…

Seller Inventory # 9783540765929

Title
Bond Portfolio Optimization
Author
Michael Puhle
Publisher
Springer
Publication year
2008
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3540765921
ISBN 13
9783540765929
Item weight
248 grams
Dimensions
235x155x9 mm

AHA-BUCH GmbH

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