Bond Portfolio Optimization
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 th
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Michael Puhle
Bond Portfolio Optimization
123
Dr. Michael Puhle Allianz Global Investors Kapitalanlagegesellschaft mbH Nymphenburger Straße 112-116 80636 Munich Germany [email protected]
Doctoral thesis, University of Passau, 2007
ISBN 978-3-540-76592-9
e-ISBN 978-3-540-76593-6
DOI 10.1007/978-3-540-76593-6 Lecture Notes in Economics and Mathematical Systems ISSN 0075-8442 Library of Congress Control Number: 2007938963 © 2008 Springer-Verlag Berlin Heidelberg This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer. Violations are liable to prosecution under the German Copyright Law. The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Production: LE-TEX Jelonek, Schmidt & Vöckler GbR, Leipzig Cover design: WMX Design GmbH, Heidelberg Printed on acid-free paper 987654321 springer.com
Acknowledgements
I would like to express my gratitude to a number of people. First of all, I thank my thesis advisor Prof. Dr. Jochen Wilhelm for supervising and guiding me during my years at the chair of finance at Passau University. Prof. Dr. J´anos Sz´ az gave me the opportunity to present previous versions at seminars in Budapest. He also provided valuable feedback and agreed to be the second referee. Prof. Dr. Bernhard Nietert took the time to discuss several parts of this thesis with me. Dipl.-Kffr. Marion Trautbeck-Kim and Dipl.-Kfm. Andreas Kremer read a draft of this thesis on short notice. Furthermore, I would like to thank Dr. Wolfram Peters for giving me the opportunity to complete this thesis during my first months at Allianz Global Investors. My parents and my brother supported this project from the beginning and provided warm encouragement during difficult days. Last but not least, I would like to thank my fianc´ee Veronika for her support especially during the final stages.
Contents
Acknowledgements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . V Abbreviations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . XI Commonly Used Symbols . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . XIII 1
Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
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Bond Market Terminology . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 2.1 Characteristics of Bonds . .
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