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
โฆ LIBER โฆ
Theory of dynamic portfolio choice for survival under uncertainty
โ Scribed by S. Roy
- Publisher
- Elsevier Science
- Year
- 1996
- Tongue
- English
- Weight
- 101 KB
- Volume
- 31
- Category
- Article
- ISSN
- 0165-4896
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