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

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zbMATH Keywords

mixed integer linear programmingtwo-stage programmingbond portfolio optimization

Mathematics Subject Classification ID

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

Cites Work

• Stochastic Programs with Fixed Recourse: The Equivalent Deterministic Program
• Title not available (Why is that?)
• Bounds in multi-horizon stochastic programs
• Portfolio optimization via stochastic programming: Methods of output analysis

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