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1、LectureNotesinEconomicsandMathematicalSystems605FoundingEditors:M.BeckmannH.P.KünziManagingEditors:Prof.Dr.G.FandelFachbereichWirtschaftswissenschaftenFernuniversitätHagenFeithstr.140/AVZII,58084Hagen,GermanyProf.Dr.W.TrockelInstitutfürMathematischeWi
2、rtschaftsforschung(IMW)UniversitätBielefeldUniversitätsstr.25,33615Bielefeld,GermanyEditorialBoard:A.Basile,A.Drexl,H.Dawid,K.Inderfurth,W.KürstenMichaelPuhleBondPortfolioOptimization123Dr.MichaelPuhleAllianzGlobalInvestorsKapitalanlagegesellschaftmbH
3、NymphenburgerStraße112-11680636MunichGermanymichael.puhle@allianzgi.deDoctoralthesis,UniversityofPassau,2007ISBN978-3-540-76592-9e-ISBN978-3-540-76593-6DOI10.1007/978-3-540-76593-6LectureNotesinEconomicsandMathematicalSystemsISSN0075-8442LibraryofCong
4、ressControlNumber:2007938963©2008Springer-VerlagBerlinHeidelbergThisworkissubjecttocopyright.Allrightsarereserved,whetherthewholeorpartofthematerialisconcerned,specificallytherightsoftranslation,reprinting,reuseofillustrations,recitation,broadcasting,
5、reproductiononmicrofilmorinanyotherway,andstorageindatabanks.DuplicationofthispublicationorpartsthereofispermittedonlyundertheprovisionsoftheGermanCopyrightLawofSeptember9,1965,initscurrentversion,andpermissionforusemustalwaysbeobtainedfromSpringer.Vi
6、olationsareliabletoprosecutionundertheGermanCopyrightLaw.Theuseofgeneraldescriptivenames,registerednames,trademarks,etc.inthispublicationdoesnotimply,evenintheabsenceofaspecificstatement,thatsuchnamesareexemptfromtherelevantprotectivelawsandregulation
7、sandthereforefreeforgeneraluse.Production:LE-TEXJelonek,Schmidt&VöcklerGbR,LeipzigCoverdesign:WMXDesignGmbH,HeidelbergPrintedonacid-freepaper987654321springer.comAcknowledgementsIwouldliketoexpressmygratitudetoanumberofpeople.Firstofall,Ithankmythesis
8、advisorProf.Dr.JochenWilhelmforsupervisingandguidingmeduringmyyearsatthechairof¯nanceatPassauUniversity.Prof.Dr.J¶anosSz¶azgavemetheopportunitytopresentpreviousversionsatseminarsinBudapest.Healsoprovidedvaluablefeedbackandagreedtobethesecondre
