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Project portfolios in dynamic environments: Organizing for uncertainty

โœ Scribed by Yvan Petit

Book ID
113656009
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
425 KB
Volume
30
Category
Article
ISSN
0263-7863

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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