Two-stage bond portfolio optimization and its application to Saudi Sukuk Market

DOI10.1007/S10479-020-03544-5zbMATH Open1437.91402OpenAlexW3006949711MaRDI QIDQ2173115FDOQ2173115

Authors Nasser Aedh Alreshidi, Mehdi Mrad, Ersoy Subasi, Munevver Mine Subasi 

Publication date 22 April 2020

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

Full work available at URL https://doi.org/10.1007/s10479-020-03544-5

zbMATH Keywords

mixed integer linear programmingtwo-stage programmingbond portfolio optimization

Mathematics Subject Classification ID

Linear programming (90C05) Portfolio theory (91G10) Mixed integer programming (90C11)

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Cites Work

• scientific article; zbMATH DE number 995813 (Why is no real title available?)
• Bounds in multi-horizon stochastic programs
• Portfolio optimization via stochastic programming: Methods of output analysis
• Stochastic Programs with Fixed Recourse: The Equivalent Deterministic Program

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