Optimal Decision On Dynamic Insurance Price And Investment Portfolio Of An Insurer With Multi Dimensional Time Varying Correlation

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Optimal Decision on Dynamic Insurance Price and Investment Portfolio of An Insurer with Multi-Dimensional Time-Varying Correlation

Author : Hong Mao
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Optimal Decision on Dynamic Insurance Price and Investment Portfolio of An Insurer with Multi-Dimensional Time-Varying Correlation by : Hong Mao

Download or read book Optimal Decision on Dynamic Insurance Price and Investment Portfolio of An Insurer with Multi-Dimensional Time-Varying Correlation written by Hong Mao and published by . This book was released on 2018 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this article, a model of optimal insurance pricing and investment strategies is established. The insurance price, investment returns and insured losses are assumed to be correlated stochastic processes. N kinds of invested risky assets following multi-Vasicek model with time-varying correlation are discussed in the investment portfolio. Demand of insurance contracts is considered to affect the price of the contracts. The utility is a performance process and is specified for time t and t is equal to or greater than zero. Dynamical optimal price of an insurance contract and the optimal investment portfolio of an insurer are found simultaneously by maximizing the performance of the insurer. Finally, numerical analysis is carried out with an example. The results show that Treasure Bills, generally considered as a risk-free asset, has been examined to follow the similar pattern as other risky assets in the long run; multi-Vasicek model is an appropriate model to describe the change pattern of the return of risky assets invested. The sensitivity of the change of important parameters on the optimal solutions is analyzed. Particularly, the equally weighted investment portfolio can be an optimal investment strategy under some conditions. The proposed model in this paper can be used to obtain optimal solutions easily even in the situation of high dimensional investment portfolio.

Optimal Decision on Dynamic Insurance Price and Investment Portfolio of an Insurer in a Competitive Market

Author : Krzysztof Ostaszewski
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis Optimal Decision on Dynamic Insurance Price and Investment Portfolio of an Insurer in a Competitive Market by : Krzysztof Ostaszewski

Download or read book Optimal Decision on Dynamic Insurance Price and Investment Portfolio of an Insurer in a Competitive Market written by Krzysztof Ostaszewski and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this article, we establish a model of insurance pricing with the assumptions that the insurance price, investment returns and insured losses are correlated stochastic processes, while also considering the affect of the demand on the price. The objective of the pricing model is to maximize the expected utility of the terminal wealth of an insurer. We construct a Hamilton-Jacobi-Bellman (HJB) equation and determine the optimal price of an insurance product and optimal investment portfolio of an insurer simultaneously by solving that HJB equation. We also carry out sensitivity analysis. The results of our analysis show that elasticity of insurance demand greatly affects the optimal solutions. Notably, quantity of insurance demanded affects the optimal allocation to risky assets in the insurer's investment portfolio. Therefore, the demand function for insurance must be considered in management of insurance firm. Our results also show that the drift and volatility of the process of insurance price will affect the investment strategy, in addition to the effect of the drift and volatility of investment process itself. Finally, the drift and volatility of investment stochastic process will affect the insurance price in the cases when the elasticity of demand is large, but that influence is negligible with small elasticity of demand.

Next Generation Data Science

Author : Henry Han
Publisher : Springer Nature
ISBN 13 : 3031618165
Total Pages : 264 pages
Book Rating : 4.0/5 (316 download)

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Book Synopsis Next Generation Data Science by : Henry Han

Download or read book Next Generation Data Science written by Henry Han and published by Springer Nature. This book was released on 2024 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: Zusammenfassung: This book constitutes the refereed proceedings of the Sescond Southwest Data Science Conference, SDSC 2023, held in Waco, TX, USa, during March 24-25, 2023. The 16 full and 1 short paper included in this book were carefully reviewed and selected from 72 submissions. They were oragnized in topical sections named: Business social and foundation data science; and applied data science, artifiicial intelligence and data engineering.

Optimal Investment Policy for Insurers Under the Constant Elasticity of Variance Model

Author : Xiaotao Liu
Publisher :
ISBN 13 :
Total Pages : 21 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Optimal Investment Policy for Insurers Under the Constant Elasticity of Variance Model by : Xiaotao Liu

Download or read book Optimal Investment Policy for Insurers Under the Constant Elasticity of Variance Model written by Xiaotao Liu and published by . This book was released on 2018 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: We solve in explicit form the optimal portfolio choice problem for an insurer with negative exponential utility over terminal wealth under the constant elasticity of variance (CEV) price model. The surplus process is assumed to follow a Brownian motion with drift and whose risk is correlated with the Brownian motion driving the risky assets. We first derive the corresponding Hamilton-Jacobi-Bellman (HJB) equation, and then simplify it into two parabolic partial differential equations (PDEs) via the variable change techniques. Finally, by the Feynman-Kac formula we solve the two PDEs and obtain the explicit solution of value function as well as the optimal investment policy. We identify four independent components of the optimal investment policy: the myopic, dynamic, static, and delta hedging demands. Previous literature, besides the myopic investment demands, in contrast, only determines either dynamic or static hedge demands, but not the both, not to mention the delta hedge demands. The delta hedging demands can be expressed as integrals of confluent hypergeometric function. We demonstrate that the static hedging demands are to hedge against the hedgeable risk of the surplus and the delta hedging demands further help to reduce the time-varying risk of the static hedged surplus process. Asymptotic analysis shows that as the variance elasticity parameter approaches to zero, both the dynamic and delta hedging demands vanish.

Modelling in Life Insurance – A Management Perspective

Author : Jean-Paul Laurent
Publisher : Springer
ISBN 13 : 3319297767
Total Pages : 263 pages
Book Rating : 4.3/5 (192 download)

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Book Synopsis Modelling in Life Insurance – A Management Perspective by : Jean-Paul Laurent

Download or read book Modelling in Life Insurance – A Management Perspective written by Jean-Paul Laurent and published by Springer. This book was released on 2016-05-02 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: Focusing on life insurance and pensions, this book addresses various aspects of modelling in modern insurance: insurance liabilities; asset-liability management; securitization, hedging, and investment strategies. With contributions from internationally renowned academics in actuarial science, finance, and management science and key people in major life insurance and reinsurance companies, there is expert coverage of a wide range of topics, for example: models in life insurance and their roles in decision making; an account of the contemporary history of insurance and life insurance mathematics; choice, calibration, and evaluation of models; documentation and quality checks of data; new insurance regulations and accounting rules; cash flow projection models; economic scenario generators; model uncertainty and model risk; model-based decision-making at line management level; models and behaviour of stakeholders. With author profiles ranging from highly specialized model builders to decision makers at chief executive level, this book should prove a useful resource to students and academics of actuarial science as well as practitioners.

The Handbook of Insurance-Linked Securities

Author : Pauline Barrieu
Publisher : John Wiley & Sons
ISBN 13 : 0470685085
Total Pages : 612 pages
Book Rating : 4.4/5 (76 download)

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Book Synopsis The Handbook of Insurance-Linked Securities by : Pauline Barrieu

Download or read book The Handbook of Insurance-Linked Securities written by Pauline Barrieu and published by John Wiley & Sons. This book was released on 2010-06-15 with total page 612 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Luca Albertini and Pauline Barrieu are to be congratulated on this volume. Written in a period where structured projects in finance are having a difficult time, it is worthwhile to return to the cradle of securitisation: insurance. Spread out over three parts (life, non- life, and tax and regulatory issues) the 26 chapters, written mainly by practitioners, give an excellent overview of this challenging field of modern insurance. Methodology and examples nicely go hand in hand. The overall slant being towards actual analyses of concrete products. No doubt this book will become a milestone going forward for actuarial students, researchers, regulators and practitioners alike." —Paul Embrechts, Professor of Mathematics and Director of RiskLab, ETH Zurich The convergence of insurance with the capital markets has opened up an alternative channel for insurers to transfer risk, raise capital and optimize their regulatory reserves as well as offering institutions a source of relatively liquid investment with limited correlation with other exposures. One of the financial instruments allowing for the cession of insurance-related risks to the capital markets is Insurance-Linked Securities (ILS). This book provides hands-on information essential for market participants, drawing on the insights and expertise of an impressive team of international market players, representing the various aspects and perspectives of this growing sector. The book presents the state of the art in Insurance-Linked Securitization, by exploring the various roles for the different parties involved in the transactions, the motivation for the transaction sponsors, the potential inherent pitfalls, the latest developments and transaction structures and the key challenges faced by the market. The book is organized into parts, each covering a specific topic or sector of the market. After a general overview of the ILS market, the Insurance-Linked Securitization process is studied in detail. A distinction is made between non-life and life securitization, due to the specificities of each sector. The process and all the actors involved are identified and considered in a comprehensive and systematic way. The concepts are first looked at in a general way, before the analysis of relevant case studies where the ILS technology is applied. Particular focus is given to: the key stages in both non-life and life securitizations, including the general features of the transactions, the cedant's perspectives, the legal issues, the rating methodologies, the choice of an appropriate trigger and the risk modeling, the particular challenges related to longevity securitization, the investor's perspective and the question of the management of a portfolio of ILS, the general issues related to insurance-linked securitization, such as accounting and tax issues, regulatory issues and solvency capital requirements. The book is accompanied by a website www.wiley.com/go/albertini_barrieu_ILS which will feature updates and additions to the various contributions to follow market developments.

Insurance Planning Models: Price Competition And Regulation Of Financial Stability

Author : Vsevolod Malinovskii
Publisher : World Scientific
ISBN 13 : 9811204675
Total Pages : 355 pages
Book Rating : 4.8/5 (112 download)

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Book Synopsis Insurance Planning Models: Price Competition And Regulation Of Financial Stability by : Vsevolod Malinovskii

Download or read book Insurance Planning Models: Price Competition And Regulation Of Financial Stability written by Vsevolod Malinovskii and published by World Scientific. This book was released on 2021-08-13 with total page 355 pages. Available in PDF, EPUB and Kindle. Book excerpt: Insurance Planning Models: Price Competition and Regulation of Financial Stability is an exciting new book that takes readers inside the secrets of internal organization of the modern general insurance business. Many people know that it is subject to intensive state regulation, whereby the purpose is to maintain long-term efficiency, honesty, security and stability in the interest and for the protection of policyholders. However, except for knowing that the insurance system is regulated by intensive calculations, that the insurance companies have different positions on the market, that they pursue different goals and even compete with each other, and that one of the tools of this competition is the policy price, not so many people know how to achieve these deserving goals.In developing quantitative recommendations and directives to competing insurers, regulators rely on certain models. In the 1900s, such models were proposed. They were useful for an insight into the probabilistic nature of the insurance process, but not for direct application to practically meaningful problems of insurance regulation. This book is your guide to the rigorously constructed long-term dynamic models with the aim to improve regulatory methods and develop quantitative recommendations using both analytical calculations and computer simulation. It is addressed to a wide range of readers, including interested policyholders, economists whose interest lies in insurance management and regulation, and mathematicians wishing to expand the scope of application for their knowledge.This book is devoted to certain issues that are either not sufficiently presented, or even absent in the literature. It is an attempt to penetrate from the standpoint of mathematical modeling into the goals which face insurance regulators and contending company managers for preventing insolvencies, or even crises pertinent to badly regulated complex reflexive systems.It offers rigorous probabilistic models of long-term insurance business based on the laws of mass phenomena. They mitigate deficiencies of oversimplified risk models. The book presents advances in probabilistic techniques designed to seek quantitative, rather than qualitative, directives and recommendations regarding safe control aiming to achieve different business goals.

Innovations In Insurance, Risk- And Asset Management - Proceedings Of The Innovations In Insurance, Risk- And Asset Management Conference

Download Innovations In Insurance, Risk- And Asset Management - Proceedings Of The Innovations In Insurance, Risk- And Asset Management Conference PDF Online Free

Author : Kathrin Glau
Publisher : World Scientific
ISBN 13 : 9813272570
Total Pages : 468 pages
Book Rating : 4.8/5 (132 download)

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Book Synopsis Innovations In Insurance, Risk- And Asset Management - Proceedings Of The Innovations In Insurance, Risk- And Asset Management Conference by : Kathrin Glau

Download or read book Innovations In Insurance, Risk- And Asset Management - Proceedings Of The Innovations In Insurance, Risk- And Asset Management Conference written by Kathrin Glau and published by World Scientific. This book was released on 2018-09-14 with total page 468 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers recent developments in the interdisciplinary fields of actuarial science, quantitative finance, risk- and asset management. The authors are leading experts from academia and practice who participated in Innovations in Insurance, Risk- and Asset Management, an international conference held at the Technical University of Munich in 2017.The topics covered include the mathematics of extreme risks, systemic risk, model uncertainty, interest rate and hybrid models, alternative investments, dynamic investment strategies, quantitative risk management, asset liability management, liability driven investments, and behavioral finance.This timely selection of topics is highly relevant for the financial industry and addresses current issues both from an academic as well as from a practitioner's point of view.

Stochastic Optimization in Insurance

Author : Pablo Azcue
Publisher : Springer
ISBN 13 : 1493909959
Total Pages : 153 pages
Book Rating : 4.4/5 (939 download)

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Book Synopsis Stochastic Optimization in Insurance by : Pablo Azcue

Download or read book Stochastic Optimization in Insurance written by Pablo Azcue and published by Springer. This book was released on 2014-06-19 with total page 153 pages. Available in PDF, EPUB and Kindle. Book excerpt: The main purpose of the book is to show how a viscosity approach can be used to tackle control problems in insurance. The problems covered are the maximization of survival probability as well as the maximization of dividends in the classical collective risk model. The authors consider the possibility of controlling the risk process by reinsurance as well as by investments. They show that optimal value functions are characterized as either the unique or the smallest viscosity solution of the associated Hamilton-Jacobi-Bellman equation; they also study the structure of the optimal strategies and show how to find them. The viscosity approach was widely used in control problems related to mathematical finance but until quite recently it was not used to solve control problems related to actuarial mathematical science. This book is designed to familiarize the reader on how to use this approach. The intended audience is graduate students as well as researchers in this area.

Optimal Per-Loss Reinsurance and Investment Problem Under Negative Correlation Assumption

Author : Fudong Wang
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (139 download)

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Book Synopsis Optimal Per-Loss Reinsurance and Investment Problem Under Negative Correlation Assumption by : Fudong Wang

Download or read book Optimal Per-Loss Reinsurance and Investment Problem Under Negative Correlation Assumption written by Fudong Wang and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we consider the optimal reinsurance and investment problem for the insurance company, where the insurer can purchase per-loss reinsurance and invest the surplus in a financial market, and the insurer's claim liabilities and capital gains in financial market are negatively correlated which makes our problems more complicated and challenging. We study two optimization problems: minimizing the probability of absolute ruin and maximizing the expected utility of the terminal wealth. By using the dynamic programming and Lagrange multiplier methods, we reduce the infinite-dimensional problem to the one-dimensional problem, and obtain the explicit form of the optimal reinsurance and investment strategies as well as the corresponding value functions. Furthermore, we investigate the impacts of the negative correlation on the optimal strategies, and find that they are totally different in these two problems. For the former, it strongly depends on the wealth level, which means that with the different wealth level, the negative correlation has different influence on the optimal results; but for the latter, both the retained claims and the amount invested in the risky asset increase as the negative correlation becomes stronger.

Investment Management for Insurers

Author : David F. Babbel
Publisher : John Wiley & Sons
ISBN 13 : 9781883249472
Total Pages : 588 pages
Book Rating : 4.2/5 (494 download)

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Book Synopsis Investment Management for Insurers by : David F. Babbel

Download or read book Investment Management for Insurers written by David F. Babbel and published by John Wiley & Sons. This book was released on 1999-02-15 with total page 588 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment Management for Insurers details all phases of the investment management process for insurers as well as fixed income instruments and derivatives and state-of-the-art analytical tools for valuing securities and measuring risk. Complete coverage includes: a general overview of issues, fixed income products, valuation, measuring and controlling interest rate risk, and equity portfolio management.

Determining the Insurer's Optimal Investment and Reinsurance Strategy Based on Stochastic Differential Game

Author : Hong Mao
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis Determining the Insurer's Optimal Investment and Reinsurance Strategy Based on Stochastic Differential Game by : Hong Mao

Download or read book Determining the Insurer's Optimal Investment and Reinsurance Strategy Based on Stochastic Differential Game written by Hong Mao and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we discuss how to determine the optimal investment portfolio and reinsurance strategy of insurance company based on zero-sum stochastic differential game between the market and the insurer. We extend Zhang and Siu (2009)'s model by (1) including a risk-free asset, (2) considering risky assets instead of only one risky asset and (3) discussing the case of power utility function besides exponential utility when the wealth process of an insurance company is a diffusion process. We establish the Hamilton-Jacobi-Bellman-Issacs equations and obtain the optimal solutions of the amount invested in risky assets and retention of reinsurance. Our results show that the optimal solution is positively correlated to time but independent of the wealth of insurer, when the utility function of terminal wealth is exponential. However, the optimal solution is uncorrelated to time and is increasing function of the wealth of the insurer in the case of power utility function. Our results also show that the risk-free interest rate will affect the strategy of investment and reinsurance.

Dynamic Pricing of General Insurance in a Competitive Market

Author : Paul Emms
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis Dynamic Pricing of General Insurance in a Competitive Market by : Paul Emms

Download or read book Dynamic Pricing of General Insurance in a Competitive Market written by Paul Emms and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: A model for general insurance pricing is developed which represents a stochastic generalisation of the discrete model proposed by Taylor (1968). This model determines the insurance premium based both on the breakeven premium and the competing premiums offered by the rest of the insurance market. The optimal premium is determined using stochastic optimal control theory for two objective functions in order to examine how the optimal premium strategy changes with the insurer's objective. Each of these problems can be formulated in terms of a multi-dimensional Bellman equation. In the first problem the optimal insurance premium is calculated when the insurer maximises its expected terminal wealth. In the second, the premium is found if the insurer maximises the expected total discounted utility of wealth where the utility function is nonlinear in the wealth. The solution to both these problems is built-up from simpler optimisation problems. For the terminal wealth problem with constant loss-ratio the optimal premium strategy can be found analytically. For the total wealth problem the optimal relative premium is found to increase with the insurer's risk aversion which leads to reduced market exposure and lower overall wealth generation.

Securitized Insurance Risk

Author : Michael Himick
Publisher : Routledge
ISBN 13 : 1135916659
Total Pages : 174 pages
Book Rating : 4.1/5 (359 download)

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Book Synopsis Securitized Insurance Risk by : Michael Himick

Download or read book Securitized Insurance Risk written by Michael Himick and published by Routledge. This book was released on 2020-09-29 with total page 174 pages. Available in PDF, EPUB and Kindle. Book excerpt: Securitized Insurance Risk is one of the first books to focus exclusively on the convergence of the insurance and financial markets in risk management and the emergence of insurance risk as a non-correlated asset class. Written for insurers and investors alike, this book explores the opportunities available to forward-looking risk and investment managers. Chapters by prominent experts specifically address: the win-win principle behind securitizing insurance risk; current structures, including catastrophe bonds, structured notes, catastrophe options, and swaps; partnering financial market tools with traditional reinsurance programs; holding insurance risk, uncorrelated with stocks and bonds; pricing insurance risk instruments and evaluating basic risk; and regulatory and accounting concerns.

Optimal Investment Strategy to Maximize the Expected Utility of an Insurance Company Under Cramer-Lundberg Dynamic

Author : Jose Cerda Hernández
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis Optimal Investment Strategy to Maximize the Expected Utility of an Insurance Company Under Cramer-Lundberg Dynamic by : Jose Cerda Hernández

Download or read book Optimal Investment Strategy to Maximize the Expected Utility of an Insurance Company Under Cramer-Lundberg Dynamic written by Jose Cerda Hernández and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this work, we examine the combined problem of optimal portfolio selection rules for an insurer in a continuous-time model where the surplus of an insurance company is modelled as a compound Poisson process. The company can invest its surplus in a risk free asset and in a risky asset, governed by the Black-Scholes equation.According to utility theory, in a financial market where investors are facing uncertainty, an investor is not concerned with wealth maximization per se but with utility maximization. It is therefore possible to introduce an increasing and concave utility function $ phi(x,t)$ representing the expected utility of a risk averse investor (insurance company). Therefore, the goal of this work is not anymore to maximize the expected portfolio value or minimize the ruin probability or maximizing the expectation of the present value of all dividends paid to the shareholders up to the ruin, but to maximize the expected utility stemming from the wealth during the life contract $[0,T]$. In this direction, using the Dynamic Programming Principle of the problem, we obtain the Hamilton-Jacobi- Bellman equation by our optimization problem (HJB). Finally, we present numerical solutions in some cases, obtaining as optimal strategy the well known Merton's strategy.

An Introduction to Financial Markets

Author : Paolo Brandimarte
Publisher : John Wiley & Sons
ISBN 13 : 1118594665
Total Pages : 893 pages
Book Rating : 4.1/5 (185 download)

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Book Synopsis An Introduction to Financial Markets by : Paolo Brandimarte

Download or read book An Introduction to Financial Markets written by Paolo Brandimarte and published by John Wiley & Sons. This book was released on 2018-02-22 with total page 893 pages. Available in PDF, EPUB and Kindle. Book excerpt: COVERS THE FUNDAMENTAL TOPICS IN MATHEMATICS, STATISTICS, AND FINANCIAL MANAGEMENT THAT ARE REQUIRED FOR A THOROUGH STUDY OF FINANCIAL MARKETS This comprehensive yet accessible book introduces students to financial markets and delves into more advanced material at a steady pace while providing motivating examples, poignant remarks, counterexamples, ideological clashes, and intuitive traps throughout. Tempered by real-life cases and actual market structures, An Introduction to Financial Markets: A Quantitative Approach accentuates theory through quantitative modeling whenever and wherever necessary. It focuses on the lessons learned from timely subject matter such as the impact of the recent subprime mortgage storm, the collapse of LTCM, and the harsh criticism on risk management and innovative finance. The book also provides the necessary foundations in stochastic calculus and optimization, alongside financial modeling concepts that are illustrated with relevant and hands-on examples. An Introduction to Financial Markets: A Quantitative Approach starts with a complete overview of the subject matter. It then moves on to sections covering fixed income assets, equity portfolios, derivatives, and advanced optimization models. This book’s balanced and broad view of the state-of-the-art in financial decision-making helps provide readers with all the background and modeling tools needed to make “honest money” and, in the process, to become a sound professional. Stresses that gut feelings are not always sufficient and that “critical thinking” and real world applications are appropriate when dealing with complex social systems involving multiple players with conflicting incentives Features a related website that contains a solution manual for end-of-chapter problems Written in a modular style for tailored classroom use Bridges a gap for business and engineering students who are familiar with the problems involved, but are less familiar with the methodologies needed to make smart decisions An Introduction to Financial Markets: A Quantitative Approach offers a balance between the need to illustrate mathematics in action and the need to understand the real life context. It is an ideal text for a first course in financial markets or investments for business, economic, statistics, engineering, decision science, and management science students.

Bond Portfolio Optimization

Author : Michael Puhle
Publisher : Springer Science & Business Media
ISBN 13 : 354076593X
Total Pages : 143 pages
Book Rating : 4.5/5 (47 download)

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Book Synopsis Bond Portfolio Optimization by : Michael Puhle

Download or read book Bond Portfolio Optimization written by Michael Puhle and published by Springer Science & Business Media. This book was released on 2008-01-08 with total page 143 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.