Integrated simulation and optimization models for tracking international fixed income indices

DOI10.1007/s101070000204zbMath1013.91098MaRDI QIDQ5944956

Stavros A. Zenios, Andrea Consiglio

Publication date: 6 July 2003

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

zbMATH Keywords

expected utilityexchange rate volatilityinterest rate riskabsolute deviationasset allocation weights

Mathematics Subject Classification ID

Utility theory (91B16) Statistical methods; economic indices and measures (91B82)

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