We develop multi-period dynamic models for fixed-income portfolio management under uncertainty, using multi-stage stochastic programming with recourse. The models integrate the prescriptive stochastic programs with descriptive Monte Carlo simulation models of the term structure of interest rates. E
A fuzzy control model (FCM) for dynamic portfolio management
✍ Scribed by Ralf Östermark
- Publisher
- Elsevier Science
- Year
- 1996
- Tongue
- English
- Weight
- 585 KB
- Volume
- 78
- Category
- Article
- ISSN
- 0165-0114
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