Scenario-based dynamic corporate bond portfolio management

Author： Beraldi Patrizia   De Simone Francesco   Violi Antonio   Consigli Giorgio   Iaquinta Gaetano  

Publisher： Oxford University Press

ISSN： 1471-6798

Source： IMA Journal of Management Mathematics, Vol.23, Iss.4, 2012-10, pp. : 341-364

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Option-based risk management of a bond portfolio under regime switching interest rates

By Antonelli Fabio  

Decisions in Economics and Finance, Vol. 36, Iss. 1, 2013-05 ,pp. : 47-70

Springer Publishing Company

Access to resources Recommend Favorite

A fuzzy control model (FCM) for dynamic portfolio management

By Ostermark R.  

Fuzzy Sets and Systems, Vol. 78, Iss. 3, 1996-03 ,pp. : 243-254

Elsevier

Access to resources Recommend Favorite

Worst-case CVaR based portfolio optimization models with applications to scenario planning

By Tong Xiaojiao   Wu Felix   Qi Liqun  

Optimization Methods and Software, Vol. 24, Iss. 6, 2009-12 ,pp. : 933-958

Taylor & Francis Ltd

Access to resources Recommend Favorite

Optimal Dynamic Portfolio Selection with Earnings-at-Risk

By Li Z.   Yang H.   Deng X.  

Journal of Optimization Theory and Applications, Vol. 132, Iss. 3, 2007-03 ,pp. : 459-473

Springer Publishing Company

Access to resources Recommend Favorite

Dynamic Portfolio Optimization in Discrete-Time with Transaction Costs

By Atkinson Colin   Quek Gary  

Applied Mathematical Finance, Vol. 19, Iss. 3, 2012-07 ,pp. : 265-298

Routledge Ltd

Access to resources Recommend Favorite