Portfolio selection strategy for fixed income markets with immunization on average
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Publication:1703564
DOI10.1007/S10479-016-2182-8zbMATH Open1404.91248OpenAlexW2419445743MaRDI QIDQ1703564FDOQ1703564
Authors: Sergio Ortobelli, Sebastiano Vitali, Marco Cassader, Tomáš 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
Recommendations
Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
Cites Work
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- Title not available (Why is that?)
- Risk factor analysis and portfolio immunization in the corporate bond market
- On the Relative Importance of Duration Constraints
Cited In (5)
- Title not available (Why is that?)
- Asset classification under the IFRS 9 framework for the construction of a banking investment portfolio
- Scenario-based dynamic corporate bond portfolio management
- Incorporating convexity in bond portfolio immunization using multifactor model: a semidefinite programming approach
- Timing portfolio strategies with exponential Lévy processes
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