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A model for portfolio management with mortgage-backed securities · Study

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ArticleA model for portfolio management with mortgage-backed securities

Stavros A. Zenios1993

Article1993

A model for portfolio management with mortgage-backed securities

Stavros A. Zenios

47 citations·0/0 files stored·Annals of Operations Research

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

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References

1990A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options 1986A Bank Asset and Liability Management Model 1972A Dynamic Model for Bond Portfolio Management 1989Stochastic network optimization models for investment planning 1993Stochastic Dedication: Designing Fixed Income Portfolios Using Massively Parallel Benders Decomposition 1992Complete Prepayment Models for Mortgage-Backed Securities 1993A Massively Parallel Algorithm for Nonlinear Stochastic Network Problems 1985Returns on Levered, Actively Managed Long-Run Portfolios of Stocks, Bonds, and Bills, 1934–1983

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1996A stochastic programming model for funding single premium deferred annuities

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Year1993

Typearticle

Published1993-06-01

VenueAnnals of Operations Research

ISSN-L0254-5330

Languageen

Citations47

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/bf02025090

openalex_workW2022360658

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