Selection of a fixed-income portfolio

DOI10.1134/S0005117906040072MaRDI QIDQ2457539zbMATH OpenOpenAlexFDO

Authors Yu. S. Kan, A. N. Krasnopol'skaya

Publication date 23 October 2007

Published in Automation and Remote Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s0005117906040072

Mathematics Subject Classification ID

Quadratic programming (90C20)

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Cites work

• A two-step capital variation model: optimization by different statistical criteria
• Bilinear loss function: quantile minimization of its normal distribution
• Capturing the Correlations of Fixed-income Instruments
• Conditional value-at-risk: optimization approach
• scientific article; zbMATH DE number 53362 (Why is no real title available?)

Cited in

(6)

• Risk-sensitive portfolio optimization problems with fixed income securities
• Decomposition and search techniques in disjunctive programs for portfolio selection
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• BOND PORTFOLIO OPTIMIZATION BY BILINEAR FRACTIONAL PROGRAMMING
• Safety-first portfolio selection
• On approximate solution of the problem of formation of the fixed-income portfolio of securities

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