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Robust optimization models for managing callable bond portfolios · Study

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ArticleRobust optimization models for managing callable bond portfolios

Christiana Vassiadou-Zeniou1996

Article1996

Robust optimization models for managing callable bond portfolios

Christiana Vassiadou-Zeniou · Stavros A. Zenios

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

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

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References

1995Robust Optimization of Large-Scale Systems 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market 1990A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options 1991Corporate bond valuation and the term structure of credit spreads 1993Mean-absolute deviation portfolio optimization for mortgage-backed securities 1994Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities 1994Capturing the Correlations of Fixed-income Instruments

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2001Integrated simulation and optimization models for tracking international fixed income indices 2003Applying Operations Research Techniques to Financial Markets

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Year1996

Typearticle

Published1996-06-01

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations49

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/0377-2217(95)00283-9

openalex_workW2050102205

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