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Integrated simulation and optimization models for tracking international fixed income indices
16 references·3 citing·40 second hop
Integrated simulation and optimization models for tracking international fixed income indices (2001)Integrated simulation and optimization mo…Introduction to Stochastic Programming (2011)Introduction to Stochastic Pr…Stochastic Programming (2010)Stochastic ProgrammingWorldwide asset and liability modeling (1998)Worldwide asset and liability…Formulation of the Russell-Yasuda Kasai Financial Planning Model (1998)Formulation of the Russell-Ya…Concepts, Technical Issues, and Uses of the Russell-Yasuda Kasai Financial Planning Model (1998)Concepts, Technical Issues, a…Scenario Simulation: Theory and methodology (1996)Scenario Simulation: Theory a…Empirical research on nominal exchange rates (1995)Empirical research on nominal…A stochastic programming model for money management (1995)A stochastic programming mode…Stochastic Network Programming for Financial Planning Problems (1992)Stochastic Network Programmin…Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Mean-Absolute Deviation Portf…The Financial System and Economic Performance (1990)The Financial System and Econ…A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options (1990)A One-Factor Model of Interes…Theory of Financial Decision Making. (1988)Theory of Financial Decision …The Handbook of Fixed Income Securities (1983)The Handbook of Fixed Income …Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Mean-Absolute-Deviation Characteristic Lines for Securities and Portfolios (1971)Mean-Absolute-Deviation Chara…High-dimensional index tracking based on the adaptive elastic net (2020)High-dimensional index tracki…Index tracking and enhanced indexing using mixed conditional value-at-risk (2017)Index tracking and enhanced i…Tracking error: a multistage portfolio model (2008)Tracking error: a multistage …Expectations and Exchange Rate Dynamics (1976)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Post-'87 crash fears in the S&P 500 futures option market (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Theory of games and economic behavior (2019)Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Modern Portfolio Theory and Investment Analysis. (1982)From stochastic dominance to mean-risk models: Semideviations as risk measures (1999)Heuristics for cardinality constrained portfolio optimisation (2000)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Scenarios and Policy Aggregation in Optimization Under Uncertainty (1991)THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS (1996)Scenario generation and stochastic programming models for asset liability management (2001)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Stochastic Programming (1995)Dynamic stochastic programmingfor asset-liability management (1998)The Stochastic Programming Approach to Asset, Liability, and Wealth Management (2003)Chance-Constrained Programming (1959)Robust solutions of uncertain linear programs (1999)Optimization under uncertainty: state-of-the-art and opportunities (2003)Lectures on Stochastic Programming: Modeling and Theory (2009)Credit risk optimization with Conditional Value-at-Risk criterion (2001)DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION (2005)Multi-objective stochastic programming for portfolio selection (2005)Conditional value-at-risk for general loss distributions (2002)The Sample Average Approximation Method for Stochastic Discrete Optimization (2002)Theory and Applications of Robust Optimization (2010)Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models (1994)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)Arbitrage Theory in Continuous Time (2004)Mixed MNL models for discrete response (2000)Discrete Choice Methods with Simulation (2001)
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  • 1990

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The Financial System and Economic Performance
125 cited

Cited by

  • 2008Tracking error: a multistage portfolio model41 cited
  • 2020High-dimensional index tracking based on the adaptive elastic net39 cited
  • 2017Index tracking and enhanced indexing using mixed conditional value-at-risk36 cited