Integrated Simulation and Optimization Models for Tracking Indices of Fixed-Income Securities

DOI10.1287/OPRE.42.2.223zbMATH Open0925.90026OpenAlexW2126563156MaRDI QIDQ4301286FDOQ4301286

Authors: Kenneth J. Worzel, Christiana Vassiadou-Zeniou, Stavros A. Zenios 

Publication date: 8 November 1999

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

Full work available at URL: https://doi.org/10.1287/opre.42.2.223

Mathematics Subject Classification ID

Cited In (24)

• Volatility versus downside risk: performance protection in dynamic portfolio strategies
• On-line portfolio selection using stochastic programming
• Robust optimization models for managing callable bond portfolios
• Dynamic models for fixed-income portfolio management under uncertainty
• A stochastic programming model for the optimal issuance of government bonds
• Optimal portfolio selection and dynamic benchmark tracking
• Mean-absolute deviation portfolio optimization for mortgage-backed securities
• Modelling and analysis of multistage stochastic programming problems: A software environment
• Financial planning via multi-stage stochastic optimization.
• An evolutionary heuristic for the index tracking problem.
• Downside risk in multiperiod tracking error models
• Monte Carlo methods for security pricing
• MINIMAL COST INDEX TRACKING UNDER NONLINEAR TRANSACTION COSTS AND MINIMAL TRANSACTION UNIT CONSTRAINTS
• Simulation-based parametric optimization for long-term asset allocation using behavioral utilities
• A stochastic programming model for funding single premium deferred annuities
• Tracking error: a multistage portfolio model
• A stochastic programming model for money management
• On the simulation of portfolios of interest rate and credit risk sensitive securities
• Reducing transaction costs for interest rate risk hedging with stochastic programming
• A model for designing callable bonds and its solution using tabu search
• Solving long-term financial planning problems via global optimization
• Asset/liability management under uncertainty for fixed-income securities
• Tracking bond indices in an integrated market and credit risk environment
• Back-testing the performance of an actively managed option portfolio at the Swedish stock market, 1990-1999

Uses Software

• GAMS

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