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From data to model and back to data: A bond portfolio management problem · Study

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ArticleFrom data to model and back to data: A bond portfolio management problem

Jitka Dupačová2001

Article2001

From data to model and back to data: A bond portfolio management problem

Jitka Dupačová · Marida Bertocchi

26 citations·0/0 files stored·European Journal of Operational Research

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Risk and Portfolio Optimization Stochastic processes and financial applications Advanced Optimization Algorithms Research

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References

1985A Theory of the Term Structure of Interest Rates 1990A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options 1999Monte Carlo bounding techniques for determining solution quality in stochastic programs 1994The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming 1986A Bank Asset and Liability Management Model 1996Interest-rate option models 1982Term Structure Modeling Using Exponential Splines 1972A Dynamic Model for Bond Portfolio Management

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Year2001

Typearticle

Published2001-10-01

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations26

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/s0377-2217(00)00260-5

openalex_workW1979020354

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