Asset/liability management under uncertainty for fixed-income securities

DOI10.1007/BF02031744zbMath0836.90015OpenAlexW2006486055MaRDI QIDQ1904674

Stavros A. Zenios

Publication date: 2 May 1996

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

Full work available at URL: https://doi.org/10.1007/bf02031744

zbMATH Keywords

mortgage-backed securitiesportfolio immunization

Mathematics Subject Classification ID

Related Items (18)

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Cites Work

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• Stochastic network optimization models for investment planning
• A stochastic programming model for money management
• Robust optimization models for managing callable bond portfolios
• Linear Programming under Uncertainty
• A Theory of the Term Structure of Interest Rates
• Stochastic Programs with Fixed Recourse: The Equivalent Deterministic Program
• Stochastic Dedication: Designing Fixed Income Portfolios Using Massively Parallel Benders Decomposition
• Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities
• Capturing the Correlations of Fixed-income Instruments

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