Abstract
The aim of this thesis was to analyze the necessary adjustments to static and dynamic models of equity portfolio optimization in order to use these models 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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Munk/ Sørensen (2004) derived optimum bond portfolios for HJM models using the martingale approach.
This has already been examined for the German market by Korn/Koziol (2006).
Litterman/ Scheinkman (1991).
For consumption and investment problems with a large trader, see Cuoco/Cvitanic (1998) and Bank/Baum (2004).
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(2008). Summary and Conclusion. In: Bond Portfolio Optimization. Lecture Notes in Economics and Mathematical Systems, vol 605. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-76593-6_6
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DOI: https://doi.org/10.1007/978-3-540-76593-6_6
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