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Прогнозирование И Оптимизация На Рынке Краткосрочных Облигаций


  • Первозванский А.А.
  • Баринов В.Ю.


Предлагается модель прогнозирования доходности государственных краткосрочных облигаций и формирования их портфеля, оптимального в смысле Марковица-Тобина. Представлены результаты построения прогнозной модели и расчеты оптимального портфеля по данным рынка ГКО.

Suggested Citation

  • Первозванский А.А. & Баринов В.Ю., 1997. "Прогнозирование И Оптимизация На Рынке Краткосрочных Облигаций," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 33(4), октябрь.
  • Handle: RePEc:scn:cememm:33-4-1
    Note: С.-Петербург

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    Cited by:

    1. Drobyshevsky Sergey & Lugovoy Oleg & Astafieva Ekaterina & Burkova N. Yu., 2009. "Modeling the term structure of interest rates on Russian government bonds in 2000 – 2008," Research Paper Series, Gaidar Institute for Economic Policy, issue 130P.

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