Portfolio selection strategy for fixed income markets with immunization on average

DOI10.1007/s10479-016-2182-8zbMath1404.91248OpenAlexW2419445743MaRDI QIDQ1703564

Sergio Ortobelli, Marco Cassader, Sebastiano Vitali, Tomas Tichý

Publication date: 2 March 2018

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

Full work available at URL: https://doi.org/10.1007/s10479-016-2182-8

zbMATH Keywords

investment analysisportfolio selectionfixed income marketimmunization on average

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (2)

Asset classification under the IFRS 9 framework for the construction of a banking investment portfolio ⋮ Timing portfolio strategies with exponential Lévy processes

Cites Work

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• On the Relative Importance of Duration Constraints
• Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality
• An equilibrium characterization of the term structure
• Optimal Financial Portfolios
• Common risk factors in the returns on stocks and bonds

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