Studies on a general stock-bond integrated portfolio optimization model

DOI10.1007/S10287-006-0017-9zbMATH Open1140.91048OpenAlexW1978199044MaRDI QIDQ871691FDOQ871691

Koji Kato, Hiroshi Konno

Publication date: 20 March 2007

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-006-0017-9

zbMATH Keywords

asset allocationintegrated portfolio optimizationmean-absolute deviation modelrisky bonds

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• From stochastic dominance to mean-risk models: Semideviations as risk measures
• An integrated stock-bond portfolio optimization model
• Empirical studies on internationally diversified investment using a stock-bond integrated model
• Internationally Diversified Investment Using an Integrated Portfolio Model
• A CONSTRAINED LEAST SQUARE METHOD FOR ESTIMATING A SMOOTH, NONNEGATIVE FORWARD RATE SEQUENCE

Cited In (1)

• Stock market prediction and portfolio selection models: a survey

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