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Robust optimization models for managing callable bond portfolios

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  • Vassiadou-Zeniou, Christiana
  • Zenios, Stavros A.

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  • Vassiadou-Zeniou, Christiana & Zenios, Stavros A., 1996. "Robust optimization models for managing callable bond portfolios," European Journal of Operational Research, Elsevier, vol. 91(2), pages 264-273, June.
    • Handle: RePEc:eee:ejores:v:91:y:1996:i:2:p:264-273
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    References listed on IDEAS

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    1. John M. Mulvey & Stavros A. Zenios, 1994. "Capturing the Correlations of Fixed-income Instruments," Management Science, INFORMS, vol. 40(10), pages 1329-1342, October.
    2. Hiroshi Konno & Hiroaki Yamazaki, 1991. "Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market," Management Science, INFORMS, vol. 37(5), pages 519-531, May.
    3. John M. Mulvey & Robert J. Vanderbei & Stavros A. Zenios, 1995. "Robust Optimization of Large-Scale Systems," Operations Research, INFORMS, vol. 43(2), pages 264-281, April.
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    Cited by:

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    2. Andrea Beltratti & Andrea Consiglio & Stavros Zenios, 1999. "Scenario modeling for the management ofinternational bond portfolios," Annals of Operations Research, Springer, vol. 85(0), pages 227-247, January.
    3. Blomvall, Jörgen & Hagenbjörk, Johan, 2022. "Reducing transaction costs for interest rate risk hedging with stochastic programming," European Journal of Operational Research, Elsevier, vol. 302(3), pages 1282-1293.
    4. Chao Lu & Jie Tao & Qiuxian An & Xiaodong Lai, 2020. "A second-order cone programming based robust data envelopment analysis model for the new-energy vehicle industry," Annals of Operations Research, Springer, vol. 292(1), pages 321-339, September.
    5. Chen, Andrew N.K., 2006. "Robust optimization for performance tuning of modern database systems," European Journal of Operational Research, Elsevier, vol. 171(2), pages 412-429, June.
    6. Rasmussen, Kourosh Marjani & Clausen, Jens, 2007. "Mortgage loan portfolio optimization using multi-stage stochastic programming," Journal of Economic Dynamics and Control, Elsevier, vol. 31(3), pages 742-766, March.
    7. Xidonas, Panos & Mavrotas, George & Hassapis, Christis & Zopounidis, Constantin, 2017. "Robust multiobjective portfolio optimization: A minimax regret approach," European Journal of Operational Research, Elsevier, vol. 262(1), pages 299-305.
    8. Fleten, Stein-Erik & Hoyland, Kjetil & Wallace, Stein W., 2002. "The performance of stochastic dynamic and fixed mix portfolio models," European Journal of Operational Research, Elsevier, vol. 140(1), pages 37-49, July.
    9. Blomvall, Jorgen & Lindberg, Per Olov, 2003. "Back-testing the performance of an actively managed option portfolio at the Swedish Stock Market, 1990-1999," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 1099-1112, April.
    10. Li, Y.P. & Huang, G.H. & Nie, X.H. & Nie, S.L., 2008. "A two-stage fuzzy robust integer programming approach for capacity planning of environmental management systems," European Journal of Operational Research, Elsevier, vol. 189(2), pages 399-420, September.

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