Capturing the Correlations of Fixed-income Instruments

DOI10.1287/MNSC.40.10.1329MaRDI QIDQ4834336zbMATH OpenOpenAlexFDO

Authors John M. Mulvey, Stavros A. Zenios

Publication date 28 May 1995

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.40.10.1329

zbMATH Keywords

financeportfolios

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Statistical methods; economic indices and measures (91B82)

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Cited in

(19)

• Dynamic models for fixed-income portfolio management under uncertainty
• Robust optimization models for managing callable bond portfolios
• Mean-absolute deviation portfolio optimization for mortgage-backed securities
• An integrated stock-bond portfolio optimization model
• Statistical analysis of fixed income market
• On the simulation of portfolios of interest rate and credit risk sensitive securities
• Risk factor analysis and portfolio immunization in the corporate bond market
• Asset/liability management under uncertainty for fixed-income securities
• Observations on industry practice in the construction of large correlation structures for risk and capital margins
• Selection of a fixed-income portfolio
• A framework for robust measurement of implied correlation
• Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments
• Internationally Diversified Investment Using an Integrated Portfolio Model
• Pricing sovereign contingent convertible debt
• Tracking bond indices in an integrated market and credit risk environment
• Cash management using multi-stage stochastic programming
• On Carr and Lee's correlation immunization strategy
• Estimating asset correlations from stock prices or default rates -- which method is superior?
• The price of fixed income market volatility

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