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Bond Portfolio Optimization (Lecture Notes in Economics and Mathematical Systems) - Couverture souple
Synopsis
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).
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- ÉditeurSpringer
- Date d'édition2008
- ISBN 10 3540765921
- ISBN 13 9783540765929
- ReliureBroché
- Langueanglais
- Nombre de pages156
- Coordonnées du fabricantnon disponible
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Bond Portfolio Optimization
Edité par
Springer Berlin Heidelberg, 2008
ISBN 10 : 3540765921
ISBN 13 : 9783540765929
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Couverture souple
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Etat : Sehr gut. Zustand: Sehr gut | Seiten: 156 | Sprache: Englisch | Produktart: Bücher. N° de réf. du vendeur 4066503/202
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Bond Portfolio Optimization
Edité par
Springer Berlin Heidelberg, 2008
ISBN 10 : 3540765921
ISBN 13 : 9783540765929
Neuf
Couverture souple
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Etat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Includes supplementary material: sn.pub/extrasThe 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, exam. N° de réf. du vendeur 6602718
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Bond Portfolio optimization
Edité par
Springer International Publishing AG, Heidelberg, 2008
ISBN 10 : 3540765921
ISBN 13 : 9783540765929
Neuf
TAPA BLANDA
Vendeur : MARCIAL PONS LIBRERO, MADRID, Espagne
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Bond Portfolio Optimization
Edité par
Springer Berlin Heidelberg, 2008
ISBN 10 : 3540765921
ISBN 13 : 9783540765929
Neuf
Taschenbuch
Vendeur : AHA-BUCH GmbH, Einbeck, Allemagne
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Taschenbuch. Etat : Neu. 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). N° de réf. du vendeur 9783540765929
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Bond Portfolio Optimization
Edité par
Springer Berlin Heidelberg Jan 2008, 2008
ISBN 10 : 3540765921
ISBN 13 : 9783540765929
Neuf
Taschenbuch
Vendeur : BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Allemagne
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Taschenbuch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 156 pp. Englisch. N° de réf. du vendeur 9783540765929
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Bond Portfolio Optimization (Lecture Notes in Economics and Mathematical Systems, 605)
Vendeur : Ria Christie Collections, Uxbridge, Royaume-Uni
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Bond Portfolio Optimization
Vendeur : Chiron Media, Wallingford, Royaume-Uni
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PF. Etat : New. N° de réf. du vendeur 6666-IUK-9783540765929
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Bond Portfolio Optimization
Edité par
Springer Berlin Heidelberg, Springer Berlin Heidelberg Jan 2008, 2008
ISBN 10 : 3540765921
ISBN 13 : 9783540765929
Neuf
Taschenbuch
Vendeur : buchversandmimpf2000, Emtmannsberg, BAYE, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Taschenbuch. Etat : Neu. Neuware -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).Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 156 pp. Englisch. N° de réf. du vendeur 9783540765929
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Bond Portfolio Optimization (Lecture Notes in Economics and Mathematical Systems, 605)
Vendeur : Lucky's Textbooks, Dallas, TX, Etats-Unis
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Bond Portfolio Optimization (Lecture Notes in Economics and Mathematical Systems (605))
Edité par
Springer, 2008
ISBN 10 : 3540765921
ISBN 13 : 9783540765929
Ancien ou d'occasion
Paperback
Vendeur : Mispah books, Redhill, SURRE, Royaume-Uni
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Paperback. Etat : Like New. Like New. book. N° de réf. du vendeur ERICA77335407659216
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