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An integrated stock-bond portfolio optimization model

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  • Konno, Hiroshi
  • Kobayashi, Katsunari

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  • Konno, Hiroshi & Kobayashi, Katsunari, 1997. "An integrated stock-bond portfolio optimization model," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1427-1444, June.
    • Handle: RePEc:eee:dyncon:v:21:y:1997:i:8-9:p:1427-1444
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    References listed on IDEAS

    as
    1. 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.
    2. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    3. John M. Mulvey & Stavros A. Zenios, 1994. "Capturing the Correlations of Fixed-income Instruments," Management Science, INFORMS, vol. 40(10), pages 1329-1342, October.
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    Cited by:

    1. N. Edirisinghe & E. Patterson, 2007. "Multi-period stochastic portfolio optimization: Block-separable decomposition," Annals of Operations Research, Springer, vol. 152(1), pages 367-394, July.
    2. Benati, Stefano, 2003. "The optimal portfolio problem with coherent risk measure constraints," European Journal of Operational Research, Elsevier, vol. 150(3), pages 572-584, November.
    3. Akhter Mohiuddin Rather & V. N. Sastry & Arun Agarwal, 2017. "Stock market prediction and Portfolio selection models: a survey," OPSEARCH, Springer;Operational Research Society of India, vol. 54(3), pages 558-579, September.
    4. Yoshiyuki Fukuda & Kazutoshi Kan & Yoshihiko Sugihara, 2013. "Banks' Stockholdings and the Correlation between Bonds and Stocks: A Portfolio Theoretic Approach," Bank of Japan Working Paper Series 13-E-6, Bank of Japan.

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