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From data to model and back to data: A bond portfolio management problem
16 references·0 citing·40 second hop
From data to model and back to data: A bond portfolio management problem (2001)From data to model and back to data: A bo…Monte Carlo bounding techniques for determining solution quality in stochastic programs (1999)Monte Carlo bounding techniqu…Interest-rate option models (1996)Interest-rate option modelsAsset/liability management under uncertainty for fixed-income securities (1995)Asset/liability management un…A stochastic programming model for money management (1995)A stochastic programming mode…The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming (1994)The Russell-Yasuda Kasai Mode…Stochastic Dedication: Designing Fixed Income Portfolios Using Massively Parallel Benders Decomposition (1993)Stochastic Dedication: Design…Some financial optimization models: I Risk management (1993)Some financial optimization m…Volatility and the Yield Curve (1991)Volatility and the Yield CurveForward Induction and Construction of Yield Curve Diffusion Models (1991)Forward Induction and Constru…Stability and sensitivity-analysis for stochastic programming (1990)Stability and sensitivity-ana…A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options (1990)A One-Factor Model of Interes…Mathematical models for decision support (1987)Mathematical models for decis…A Bank Asset and Liability Management Model (1986)A Bank Asset and Liability Ma…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Term Structure Modeling Using Exponential Splines (1982)Term Structure Modeling Using…A Dynamic Model for Bond Portfolio Management (1972)A Dynamic Model for Bond Port…Theory of Financial Decision Making. (1988)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Robust Optimization of Large-Scale Systems (1995)Stochastic dual dynamic integer programming (2018)An intelligent financial portfolio trading strategy using deep Q-learning (2020)Simulation Modeling and Analysis. (1983)Inventory management and production planning and scheduling (1999)The Sample Average Approximation Method for Stochastic Discrete Optimization (2002)A stochastic programming approach for supply chain network design under uncertainty (2004)Lectures on Stochastic Programming (2009)Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficient Diversification of Investments. (1960)Strategic asset allocation (1997)Generating Scenario Trees for Multistage Decision Problems (2001)Portfolio Selection: Efficient Diversification of Investments. (1962)Stochastic Network Programming for Financial Planning Problems (1992)Linear Programming Under Uncertainty (2004)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Theory of rational option pricing (2005)A New Approach to Estimation of the Term Structure of Interest Rates (1984)Pitfalls in Smoothing Interest Rate Term Structure Data: Equilibrium Models and Spline Approximations (1984)The euro area sovereign debt crisis: Identifying flight-to-liquidity and the spillover mechanisms (2013)Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders From Naïve and Optimal Strategies* (2017)The most general methodology for creating a valid correlation matrix for risk management and option pricing purposes (2000)Measuring Market Risk (2005)Interest‐Rate Modelling (2014)Pricing Interest-Rate-Derivative Securities (1990)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)The Term Structure as a Predictor of Real Economic Activity (1991)Maximum Likelihood Estimation for a Multifactor Equilibrium Model of the Term Structure of Interest Rates (1993)Term Structure Dynamics in Theory and Reality (2003)Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs (1985)Scenarios for Multistage Stochastic Programs (2000)Inventory Management with Asset-Based Financing (2004)
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References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1990A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options981 cited
  • 1999Monte Carlo bounding techniques for determining solution quality in stochastic programs705 cited
  • 1994The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming362 cited
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  • 1996Interest-rate option models279 cited
  • 1982Term Structure Modeling Using Exponential Splines251 cited
  • 1972A Dynamic Model for Bond Portfolio Management182 cited
  • 1991Volatility and the Yield Curve158 cited
  • 1995A stochastic programming model for money management126 cited
  • 1987Mathematical models for decision support104 cited
  • 1995Asset/liability management under uncertainty for fixed-income securities101 cited
  • 1991Forward Induction and Construction of Yield Curve Diffusion Models97 cited
  • 1990Stability and sensitivity-analysis for stochastic programming92 cited
  • 1993Stochastic Dedication: Designing Fixed Income Portfolios Using Massively Parallel Benders Decomposition

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91 cited
  • 1993Some financial optimization models: I Risk management61 cited
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