On approximate solution of the problem of formation of the fixed-income portfolio of securities

DOI10.1134/S000511791006010XMaRDI QIDQ612079zbMATH OpenOpenAlexFDO

Authors Yu. S. Kan, A. V. Sysuev

Publication date 3 January 2011

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

Full work available at URL https://doi.org/10.1134/s000511791006010x

zbMATH Keywords

optimal portfoliorandom parameterslinearization methodfixed-income portfolioquantile performance index

Mathematics Subject Classification ID

Portfolio theory (91G10) Linearizations (93B18) Optimal stochastic control (93E20)

Recommendations

• Selection of a fixed-income portfolio
• Risk-sensitive portfolio optimization problems with fixed income securities
• scientific article; zbMATH DE number 1892900
• scientific article; zbMATH DE number 5845882
• Bond portfolio optimization

Cites work

• scientific article; zbMATH DE number 1724451 (Why is no real title available?)
• Convex Analysis
• Fundamentals of the linearization method for quantile analysis with small random parameters

Cited in

(1)

• Selection of a fixed-income portfolio

This page was built for publication: On approximate solution of the problem of formation of the fixed-income portfolio of securities

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q612079)