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Titel:

Optimal Portfolios with Mortgage-Backed Securities

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Bernhardt, E.; Kolbe, A.; Zagst, R.
Nicht-TUM Koautoren:
ja
Kooperation:
national
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
Zeitschriftentitel:
Journal of Real Estate Portfolio Management
Jahr:
2013
Band / Volume:
19
Heft / Issue:
2
Seitenangaben Beitrag:
121-136
Reviewed:
ja
Sprache:
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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