Utilizing risk minimization for portfolio management
โ Scribed by Augusto Menendez; Bruce R. Feiring
- Publisher
- Elsevier Science
- Year
- 1992
- Tongue
- English
- Weight
- 522 KB
- Volume
- 16
- Category
- Article
- ISSN
- 0895-7177
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
## Managing Risk and Return of Upstream Portfolios istorically, few exploration and production (W) H companies have generated high returns while plowing high percentages of cash flow back into capital expenditure. Nevertheless, with capital flow into upstream investment increasing, this very chall
This paper develops a minimax immunization strategy for an infinite factor interest rate model. The risk of a portfolio of cash flows is measured as the maximum sensitivity of the portfolio value. The objective is to choose the portfolio whose maximum sensitivity over a set of possible interest rate