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Robustness of bond portfolio optimisation
Korn and Koziol (2006) apply the Markowitz (1952) mean-variance framework to bond portfolio selection by proposing the use of term structure models to estimate the time-varying moments of bond returns. Duffee (2002) introduces a distinction between completely affine and essentially affine term struc...
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| Format: | Thesis |
| Language: | English |
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Division of Actuarial Science
2016
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