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Selection of a fixed-income portfolio

✍ Scribed by Yu. S. Kan; A. N. Krasnopol’skaya


Book ID
110152370
Publisher
SP MAIK Nauka/Interperiodica
Year
2006
Tongue
English
Weight
123 KB
Volume
67
Category
Article
ISSN
0005-1179

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Dynamic models for fixed-income portfoli
✍ Stavros A Zenios; Martin R Holmer; Raymond McKendall; Christiana Vassiadou-Zenio 📂 Article 📅 1998 🏛 Elsevier Science 🌐 English ⚖ 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