𝔖 Bobbio Scriptorium
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Dynamic management of a portfolio of orders

✍ Scribed by Claude Yugma

Book ID
106308136
Publisher
Springer
Year
2005
Tongue
English
Weight
52 KB
Volume
3
Category
Article
ISSN
1619-4500

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πŸ“œ SIMILAR VOLUMES

Dynamic models for fixed-income portfoli
Dynamic models for fixed-income portfolio management under uncertainty
✍ Stavros A Zenios; Martin R Holmer; Raymond McKendall; Christiana Vassiadou-Zenio πŸ“‚ Article πŸ“… 1998 πŸ› Elsevier Science 🌐 English βš– 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