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.
- ISBN10 3540845712
- ISBN13 9783540845713
- Publish Date 12 August 2008 (first published 1 January 2008)
- Publish Status Withdrawn
- Out of Print 18 October 2014
- Publish Country US
- Imprint Springer
- Format Paperback (US Trade)
- Pages 156
- Language English