From data to model and back to data: A bond portfolio management problem
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Bibliographic InfoArticle provided by Elsevier in its journal European Journal of Operational Research.
Volume (Year): 134 (2001)
Issue (Month): 2 (October)
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- Randall S. Hiller & Jonathan Eckstein, 1993. "Stochastic Dedication: Designing Fixed Income Portfolios Using Massively Parallel Benders Decomposition," Management Science, INFORMS, vol. 39(11), pages 1422-1438, November.
- Vasicek, Oldrich A & Fong, H Gifford, 1982. " Term Structure Modeling Using Exponential Splines," Journal of Finance, American Finance Association, vol. 37(2), pages 339-48, May.
- Stephen P. Bradley & Dwight B. Crane, 1972. "A Dynamic Model for Bond Portfolio Management," Management Science, INFORMS, vol. 19(2), pages 139-151, October.
- Robert R. Bliss, 1996. "Testing term structure estimation methods," Working Paper 96-12, Federal Reserve Bank of Atlanta.
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
- Vladislav Kargin, 2003. "Portfolio Management for a Random Field of Bond Returns," Finance 0310007, EconWPA.
- Date, P. & Canepa, A. & Abdel-Jawad, M., 2011. "A mixed integer linear programming model for optimal sovereign debt issuance," European Journal of Operational Research, Elsevier, vol. 214(3), pages 749-758, November.
- Vladislav Kargin, 2002. "On Bond Portfolio Management," Papers math/0208130, arXiv.org, revised Mar 2003.
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