Titlebook: Bond Portfolio Optimization; Michael Puhle Book 2008 Springer-Verlag Berlin Heidelberg 2008 Fixed Income.Optimization.Portfolio.Portfolio

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ULCER

Summary and Conclusion,dels for the selection of bond portfolios. Furthermore, we wanted to compare the optimum portfolios with bond portfolios recommended by the practice. The core of this thesis is based mainly upon Wilhelm (1992) and Korn/Kraft (2002).

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Bond Portfolio Optimization978-3-540-76593-6Series ISSN 0075-8442 Series E-ISSN 2196-9957

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pessimism

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不理會(huì)

,Die Liebe, das Leben und das Glück, frame-work in which the asset managers think about stock selection. In the fixed income market on the other hand, these tools seem irrelevant or inapplicable. Bond portfolios are nowadays mainly managed by a comparison of portfolio risk measures vis á vis a benchmark. The portfolio manager’s views

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,Einleitung Was wir über die Liebe wissen, portfolio selection was first introduced by Wilhelm (1992). We show why and how the Markowitz model has to be adapted in order to be useful for the selection of bond portfolios. After deriving the adjusted portfolio selection problem, we apply it to the Vasicek and the HW2 model, we presented in Ch