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Dynamic models for fixed-income portfolio management under uncertainty · Study

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ArticleDynamic models for fixed-income portfolio management under uncertainty

Stavros A. Zenios1998

Article1998

Dynamic models for fixed-income portfolio management under uncertainty

Stavros A. Zenios · Martin R. Holmer · Raymond McKendall · Christiana Vassiadou-Zeniou

81 citations·0/0 files stored·Journal of Economic Dynamics and Control

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Risk and Portfolio Optimization Financial Analysis and Corporate Governance Stochastic processes and financial applications

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References

1952Portfolio Selection 1995Robust Optimization of Large-Scale Systems 1990A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options 1968Optimal Multiperiod Portfolio Policies 1997Strategic asset allocation 1952Review of the Principles of Life-office Valuations 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

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2002Applications of stochastic programming: Achievements and questions 2008Stochastic programming models for asset liability management 2005A stochastic linear goal programming approach to multistage portfolio management based on scenario generation via linear programming 2011Fuzzy multi period portfolio selection with different rates for borrowing and lending 2009Portfolio selection in multidimensional general and partial moment space 1999

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Year1998

Typearticle

Published1998-08-01

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations81

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/s0165-1889(97)00115-2

openalex_workW1997482018

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Portfolio optimization via stochastic programming: Methods of output analysis

2016A parsimonious model for generating arbitrage-free scenario trees

2003Applying Operations Research Techniques to Financial Markets