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Document type:
Zeitschriftenaufsatz 
Author(s):
Bernhardt, E.; Kolbe, A.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
national 
Title:
Optimal Portfolios with Mortgage-Backed Securities 
Abstract:
In this paper we consider portfolio optimisation problems based on simulated scenarios and extend their usual application by including prepayment-sensitive fixed-rate agency mortgage-backed securities into the universe of available assets. This has become feasible due to recent closed-form approximation approaches for the pricing of MBS, which have long been neglected in modern portfolio optimisation applications due to the computational burden. In an empirical case study we show that an optimal...    »
 
Intellectual Contribution:
Contribution to Practice 
Journal title:
Journal of Real Estate Portfolio Management 
Year:
2013 
Journal volume:
19 
Journal issue:
Pages contribution:
121-136 
Reviewed:
ja 
Language:
en 
Status:
Postprint / reviewed 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Ja 
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