Internationally Diversified Investment Using an Integrated Portfolio Model

DOI10.1142/S0219024998000072zbMath0908.90013MaRDI QIDQ4216103

Jing Li, Hiroshi Konno

Publication date: 22 November 1998

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

portfolio

Mathematics Subject Classification ID

Related Items

Studies on a general stock-bond integrated portfolio optimization model, A MEAN-VARIANCE-SKEWNESS MODEL: ALGORITHM AND APPLICATIONS

Cites Work

• An interior point algorithm for large scale portfolio optimization
• Mean-absolute deviation portfolio optimization for mortgage-backed securities
• A Theory of the Term Structure of Interest Rates
• Capturing the Correlations of Fixed-income Instruments
• Pricing Interest-Rate-Derivative Securities