𝔖 Bobbio Scriptorium
✦   LIBER   ✦

PORTFOLIO MODELING IN MULTIPLE-CRITERIA SITUATIONS UNDER UNCERTAINTY

✍ Scribed by Alan Paul Muhlemann; Alan Geoffrey Lockett; Anthony Edward Gear

Book ID
109166667
Publisher
Decision Sciences Institute, Georgia State University
Year
1978
Tongue
English
Weight
623 KB
Volume
9
Category
Article
ISSN
0011-7315

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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