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Optimal Investment with Stochastic Interest Rates and Ambiguity
Julian Hölzermann
fixed income / interest ratesResource overview

Optimal Investment with Stochastic Interest Rates and Ambiguity

Paper2023

by Julian Hölzermann

Tags
fixed incomeinterest ratesportfolio managementportfolio optimization

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Understand this paper

Suggested foundations for portfolio construction and rates and fixed income. Specialist prerequisites vary by paper.

Before you read

  1. Eigenvalues and Covariance Matrices

    Understand the covariance structure of portfolio risk.

  2. Constrained and Convex Optimisation

    Read objectives, constraints and optimality conditions.

  3. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  4. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

Go further

  1. Mean-Variance Optimisation

    Construct allocations and examine sensitivity to estimated inputs.

  2. Portfolio Constraints

    Turn mathematical weights into feasible portfolio decisions.

  3. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

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Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Portfolio Theory and Quantitative Investment Explore Fixed Income and Interest-Rate Models

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