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Robust optimization models for managing callable bond portfolios

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References

1995Robust Optimization of Large-Scale Systems1,959 cited
1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
1990A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options981 cited
1991Corporate bond valuation and the term structure of credit spreads234 cited
1993Mean-absolute deviation portfolio optimization for mortgage-backed securities93 cited
1994Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities76 cited
1994Capturing the Correlations of Fixed-income Instruments65 cited

Cited by

2001Integrated simulation and optimization models for tracking international fixed income indices44 cited
2003Applying Operations Research Techniques to Financial Markets35 cited

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