Mean-absolute deviation portfolio optimization for mortgage-backed securities

DOI10.1007/BF02282062zbMath0800.90049OpenAlexW2013453214MaRDI QIDQ1313178

Pan Kang, Stavros A. Zenios

Publication date: 26 January 1994

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02282062

Mathematics Subject Classification ID

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Cites Work

• A Theory of the Term Structure of Interest Rates
• Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities
• Capturing the Correlations of Fixed-income Instruments
• Mean-Absolute-Deviation Characteristic Lines for Securities and Portfolios

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