Author: Christodoulos A. FloudasPublisher: Montréal : Groupe d'études et de recherche en analyse des décisions
ISBN:
Category :
Languages : en
Pages : 26
Book Description
Reformulation of Two Bond Portfolio Optimization Models
Author: Christodoulos A. FloudasPublisher: Montréal : Groupe d'études et de recherche en analyse des décisions
ISBN:
Category :
Languages : en
Pages : 26
Book Description
Reformation of Two Bond Portfolio Optimization Models
Author: Christodoulos A. FloudasPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Bond Portfolio Optimization
Author: Michael PuhlePublisher: Springer Science & Business Media
ISBN: 354076593X
Category : Business & Economics
Languages : en
Pages : 143
Book Description
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.
New Operational Approaches for Financial Modelling
Author: Constantin ZopounidisPublisher: Springer Science & Business Media
ISBN: 3642592708
Category : Business & Economics
Languages : en
Pages : 446
Book Description
th This book is devoted to the 19 Meeting of the EURO Working Group on Financial Modelling, held in Chania, Crete, Greece,November28-30, 1996. The EURO Working Group on Financial Modelling was founded in September 1986 in Lisbon. The primary field of interest for the Working Group can be described as "the development of financial models that help to solve problems facedby financial managers in the firm". From this point of view, the following objectivesof the Working Group are distinguished: • providing an international forum for exchange of information and experience on financial modelling; • encouraging research in financial modelling (i. e. new techniques, methodologies, software,empirical studies,etc. ); • stimulating and strengthening the interaction between financial economic theory and the practice of financial decision making; • cooperating and exchanging information with universities and financial institutions throughout Europe. According to the aboveobjectives,the basic aim of this book is to present some new operational approaches (i. e. neural nets, multicriteria analysis, new optimization algorithms, decision software, etc. ) for financial modelling, both in a theoretical and practical levels. Thus, the present volume is divided in nine chapters. The first chapter refers to the new trends in financial modelling and includes two invited papers by Gil-Aluja and Pardalos. The second chapter involves papers on the topic of high performance computing and finance which is a European union project in which participate some members of the EURO Working Group on Financial Modelling (Spronk, Zenios, Dempster, etc. ).
Simulation Approach to Two-stage Bond Portfolio Optimization Problem
Author: Chuan XuPublisher:
ISBN:
Category : Portfolio management
Languages : en
Pages : 70
Book Description
Studies on two sides are done in this thesis. First, we consider bond portfolio optimization problem under stochastic optimization structure; second, specific algorithm to solve the problem is explored. A stochastic model for the problem is constructed. Investor is able to minimize the cost of setting up bond portfolio to cover random obligations with our model. The idea of rebalancing is introduced into our model. Investor could adjust the portfolio after he have set up the bond portfolio. Thus, we develop a two-stage stochastic programming with recourse model for bond optimization problem. Specific algorithms to solve the problem are also discussed in the thesis. We focus on simulation approach since it is able to handle special case of the problem whose random variables in constraints have continuous distribution. The key points of the approach are introduced and discussed. We successfully implement the approach on our model. Various numerical example tests with different scenario settings are carried out to see the impacts of different factors on the optimum value, optimum solution and the quality of results. The validity of our model and the efficiency of simulation approach are proved by the results. Several future research directions on this topic are also discussed in the thesis.
Bond Portfolio Optimization Using Dynamic Factor Models
Author: João CaldeiraPublisher:
ISBN:
Category :
Languages : en
Pages : 49
Book Description
Dynamic factor models for the yield curve have been extensively applied to fit and forecast the yield curve. We propose a novel utilization of these models in bond portfolio optimization. Specifically, we derive closed-form expressions for the vector of expected bond returns and for its covariance matrix based on a general class of dynamic factor models, and use these expressions to obtain optimal mean-variance bond portfolios. We also develop a duration-constrained, mean-variance optimization, which can be used to improve bond indexing. An empirical application involving two large data sets of U.S. Treasuries with different characteristics shows that the proposed portfolio policy outperforms a broad set of traditional yield curve strategies used in bond desks in terms of higher Sharpe ratios. Moreover, we find that an investor with a quadratic utility function is willing to pay a performance fee to adopt the proposed mean-variance bond portfolios. Finally, we discuss how an investor can benefit from adopting a dynamic rule to switch among alternative bond investment strategies. We find that the benefits of such dynamic portfolio selection rule are even more pronounced when the set of available policies is augmented with the proposed mean-variance portfolios.
Quantitative Management of Bond Portfolios
Author: Lev DynkinPublisher: Princeton University Press
ISBN: 0691210616
Category : Business & Economics
Languages : en
Pages : 1000
Book Description
The practice of institutional bond portfolio management has changed markedly since the late 1980s in response to new financial instruments, investment methodologies, and improved analytics. Investors are looking for a more disciplined, quantitative approach to asset management. Here, five top authorities from a leading Wall Street firm provide practical solutions and feasible methodologies based on investor inquiries. While taking a quantitative approach, they avoid complex mathematical derivations, making the book accessible to a wide audience, including portfolio managers, plan sponsors, research analysts, risk managers, academics, students, and anyone interested in bond portfolio management. The book covers a range of subjects of concern to fixed-income portfolio managers--investment style, benchmark replication and customization, managing credit and mortgage portfolios, managing central bank reserves, risk optimization, and performance attribution. The first part contains empirical studies of security selection versus asset allocation, index replication with derivatives and bonds, optimal portfolio diversification, and long-horizon performance of assets. The second part covers portfolio management tools for risk budgeting, bottom-up risk modeling, performance attribution, innovative measures of risk sensitivities, and hedging risk exposures. A first-of-its-kind publication from a team of practitioners at the front lines of financial thinking, this book presents a winning combination of mathematical models, intuitive examples, and clear language.
Contents of Recent Economics Journals
Author: Quantitative Global Bond Portfolio Management
Author: Gueorgui S KonstantinovPublisher: World Scientific
ISBN: 9811272581
Category : Business & Economics
Languages : en
Pages : 421
Book Description
Quantitative Global Bond Portfolio Management offers a comprehensive discussion of quantitative modelling approaches to managing global bond and currency portfolios. Drawing on practitioner and academic research, as well as the extensive market experience of the authors, the book provides a timely overview of cutting-edge tools applied to the management of global bond portfolios, including in-depth discussions of factor models and optimization techniques. In addition to providing a solid theoretical foundation for global bond portfolio management, the authors focus on the practical implementation of yield curve and currency-driven approaches that can be successfully implemented in actual portfolios. As such, the book will be an indispensable resource to both new and seasoned investors looking to enhance their understanding of global bond markets and strategies.
Author: Zhenmin Fang