Dynamic models for fixed-income portfolio management under uncertainty

DOI10.1016/S0165-1889(97)00115-2zbMath0914.90028OpenAlexW1997482018MaRDI QIDQ1275033

Raymond McKendall, Martin R. Holmer, Stavros A. Zenios, Christiana Vassiadou-Zeniou

Publication date: 12 January 1999

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(97)00115-2

zbMATH Keywords

uncertaintyfixed-income portfolio managamentmulti-period dynamic modelsmultistage stochastic programming with recourseSalomon Brothers Mortage index

Mathematics Subject Classification ID

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