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Axiomatization of stochastic models for choice under uncertainty

โœ Scribed by John K. Dagsvik

Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
410 KB
Volume
55
Category
Article
ISSN
0165-4896

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Dynamic models for fixed-income portfoli
Dynamic models for fixed-income portfolio management under uncertainty
โœ Stavros A Zenios; Martin R Holmer; Raymond McKendall; Christiana Vassiadou-Zenio ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 309 KB

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