An integrated stock-bond portfolio optimization model

DOI10.1016/S0165-1889(97)00033-XMaRDI QIDQ1391444zbMATH OpenFDO

Authors Hiroshi Konno, Katsunari Kobayashi

Publication date 22 July 1998

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0165-1889(97)00033-X

zbMATH Keywords

asset allocationmean-absolute deviation modelportfolio choicestock-bond model

Mathematics Subject Classification ID

Linear programming (90C05) Large-scale problems in mathematical programming (90C06) Quadratic programming (90C20) Applications of mathematical programming (90C90) Portfolio theory (91G10)

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Cites work

• A FAST ALGORITHM FOR SOLVING LARGE SCALE MEAN-VARIANCE MODELS BY COMPACT FACTORIZATION OF COVARIANCE MATRICES
• A theory of the term structure of interest rates
• An integrated stock-bond portfolio optimization model
• An interior point algorithm for large scale portfolio optimization
• Capturing the Correlations of Fixed-income Instruments
• scientific article; zbMATH DE number 3497901 (Why is no real title available?)
• Mean-absolute deviation portfolio optimization for mortgage-backed securities
• Nonparametric Pricing of Interest Rate Derivative Securities
• PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION
• Pricing interest-rate-derivative securities

Cited in

(15)

• Applications of the integrated approach to international portfolio optimization
• Solving a mixed-integer multiobjective bond portfolio model involving logical conditions
• An integrated stock-bond portfolio optimization model
• The optimal portfolio problem with coherent risk measure constraints.
• Stock market prediction and portfolio selection models: a survey
• Equity-linked notes portfolio optimization
• Multi-period stochastic portfolio optimization: block-separable decomposition
• scientific article; zbMATH DE number 5696804 (Why is no real title available?)
• The Power-Series Algorithm Applied to the Shortest-Queue Model
• Internationally Diversified Investment Using an Integrated Portfolio Model
• Risk, return and international portfolio analysis: entropy and linear belief functions
• Robust stock and bond allocation with end-of-horizon effects
• Integrating prediction in mean-variance portfolio optimization
• Studies on a general stock-bond integrated portfolio optimization model
• Optimal portfolio choice in the bond market

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