Integrated simulation and optimization models for tracking international fixed income indices

DOI10.1007/S101070000204zbMath1013.91098MaRDI QIDQ5944956

Stavros A. Zenios, Andrea Consiglio

Publication date: 6 July 2003

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

zbMATH Keywords

expected utilityexchange rate volatilityinterest rate riskabsolute deviationasset allocation weights

Mathematics Subject Classification ID

Utility theory (91B16) Statistical methods; economic indices and measures (91B82)

Related Items (13)

Enhanced indexing for risk averse investors using relaxed second order stochastic dominance ⋮ Integrated dynamic models for hedging international portfolio risks ⋮ Reducing transaction costs for interest rate risk hedging with stochastic programming ⋮ Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming ⋮ Kernel search: an application to the index tracking problem ⋮ High-dimensional index tracking based on the adaptive elastic net ⋮ Index tracking and enhanced indexing using mixed conditional value-at-risk ⋮ Scenario modelling for selective hedging strategies ⋮ Tracking bond indices in an integrated market and credit risk environment ⋮ Optimal portfolio selection and dynamic benchmark tracking ⋮ An evolutionary heuristic for the index tracking problem. ⋮ Tracking error: a multistage portfolio model ⋮ A hybrid optimization approach to index tracking

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