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Robust optimization models for managing callable bond portfolios

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  • Vassiadou-Zeniou, Christiana
  • Zenios, Stavros A.

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File URL: http://www.sciencedirect.com/science/article/B6VCT-3VW1SSD-6/2/b7ca7c3e65ecd4c581e4e35b0dc385e6
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Bibliographic Info

Article provided by Elsevier in its journal European Journal of Operational Research.

Volume (Year): 91 (1996)
Issue (Month): 2 (June)
Pages: 264-273

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Handle: RePEc:eee:ejores:v:91:y:1996:i:2:p:264-273

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Web page: http://www.elsevier.com/locate/eor

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  1. John M. Mulvey & Stavros A. Zenios, 1994. "Capturing the Correlations of Fixed-income Instruments," Management Science, INFORMS, vol. 40(10), pages 1329-1342, October.
  2. Hiroshi Konno & Hiroaki Yamazaki, 1991. "Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market," Management Science, INFORMS, vol. 37(5), pages 519-531, May.
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Cited by:
  1. Blomvall, Jorgen & Lindberg, Per Olov, 2003. "Back-testing the performance of an actively managed option portfolio at the Swedish Stock Market, 1990-1999," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 1099-1112, April.
  2. Fleten, Stein-Erik & Hoyland, Kjetil & Wallace, Stein W., 2002. "The performance of stochastic dynamic and fixed mix portfolio models," European Journal of Operational Research, Elsevier, vol. 140(1), pages 37-49, July.
  3. Andrea Beltratti & Andrea Consiglio & Stavros A. Zenios, 1998. "Scenario Modeling for the Management of International Bond Portfolios," Center for Financial Institutions Working Papers 98-20, Wharton School Center for Financial Institutions, University of Pennsylvania.
  4. Rasmussen, Kourosh Marjani & Clausen, Jens, 2007. "Mortgage loan portfolio optimization using multi-stage stochastic programming," Journal of Economic Dynamics and Control, Elsevier, vol. 31(3), pages 742-766, March.

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