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Lecture Financial modeling - Topic 11: Fixed income portfolio optimization

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Lecture Financial modeling - Topic 11: Fixed income portfolio optimization

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Topic 11 - Fixed income portfolio optimization. After completing this topic, you should be able to: Manage the interest rate risk of fixed income portfolios; compute portfolio value, income, duration, convexity compute effective duration; optimize liabilities funding (pension) using duration and convexity; optimize fixed income portfolios using duration and convexity.

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