Bond Portfolio Optimization
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Abstract
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Suggested Citation
DOI: 10.1007/978-3-540-76593-6
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Citations
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Cited by:
- Eric Luxenberg & Philipp Schiele & Stephen Boyd, 2022. "Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization," Papers 2212.02570, arXiv.org, revised Jan 2024.
- Shen, Yang & Siu, Tak Kuen, 2012. "Asset allocation under stochastic interest rate with regime switching," Economic Modelling, Elsevier, vol. 29(4), pages 1126-1136.
- P. Xidonas & C. Hassapis & G. Bouzianis & C. Staikouras, 2018. "An Integrated Matching-Immunization Model for Bond Portfolio Optimization," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 595-605, March.
- Yaacov Kopeliovich, 2015. "Optimal Portfolios Of Corporate Bonds And Hold To Maturity Strategies," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-34, December.
- Iliya Markov & Rodrigue Oeuvray & Nils Tuchschmid, 2013. "Non-fully invested derivative-free bond index replication," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(1), pages 101-124, March.
- Eric Luxenberg & Philipp Schiele & Stephen Boyd, 2024. "Robust Bond Portfolio Construction via Convex–Concave Saddle Point Optimization," Journal of Optimization Theory and Applications, Springer, vol. 201(3), pages 1089-1115, June.
- Konstantinos Bisiotis & Stelios Psarakis & Athanasios N. Yannacopoulos, 2022. "Affine Term Structure Models: Applications in Portfolio Optimization and Change Point Detection," Mathematics, MDPI, vol. 10(21), pages 1-33, November.
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