| 期刊全稱(chēng) | Bond Portfolio Optimization | | 影響因子2023 | Michael Puhle | | 視頻video | http://file.papertrans.cn/190/189626/189626.mp4 | | 發(fā)行地址 | Includes supplementary material: | | 學(xué)科分類(lèi) | Lecture Notes in Economics and Mathematical Systems | | 圖書(shū)封面 |  | | 影響因子 | 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 portf | | Pindex | Book 2008 |
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