Dynamic Bond Portfolio Optimization in Continuous Time

Lecture Notes in Economics and Mathematical Systems - Bond Portfolio Optimization ◽

10.1007/978-3-540-76593-6_5 ◽

2008 ◽

pp. 85-113

Keyword(s):

Portfolio Optimization ◽

Continuous Time ◽

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Corporate Bond Portfolio Optimization with Transaction Costs

SSRN Electronic Journal ◽

10.2139/ssrn.890709 ◽

2006 ◽

Author(s):

Peter J Meindl ◽

James Primbs

Keyword(s):

Transaction Costs ◽

Portfolio Optimization ◽

Corporate Bond ◽

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A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization

Mathematical Methods of Operations Research ◽

10.1007/s00186-010-0320-7 ◽

2010 ◽

Vol 72 (2) ◽

pp. 273-310 ◽

Author(s):

Daniel Andersson ◽

Boualem Djehiche

Keyword(s):

Maximum Principle ◽

Portfolio Optimization ◽

Stochastic Control ◽

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Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion

Optimization Letters ◽

10.1007/s11590-015-0970-8 ◽

2015 ◽

Vol 10 (8) ◽

pp. 1681-1691 ◽

Author(s):

Xiangyu Cui ◽

Lu Xu ◽

Yan Zeng

Keyword(s):

Risk Aversion ◽

Portfolio Optimization ◽

Continuous Time ◽

State Dependent ◽

Mean Variance Portfolio ◽

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Bond portfolio optimization using dynamic factor models

Journal of Empirical Finance ◽

10.1016/j.jempfin.2016.03.004 ◽

2016 ◽

Vol 37 ◽

pp. 128-158 ◽

Author(s):

João F. Caldeira ◽

Guilherme V. Moura ◽

André A.P. Santos

Keyword(s):

Portfolio Optimization ◽

Factor Models ◽

Dynamic Factor ◽

Dynamic Factor Models ◽

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A Stochastic-Goal Mixed-Integer Programming approach for integrated stock and bond portfolio optimization

Computers & Industrial Engineering ◽

10.1016/j.cie.2011.07.022 ◽

2011 ◽

Vol 61 (4) ◽

pp. 1285-1295 ◽

Author(s):

Stephen J. Stoyan ◽

Roy H. Kwon

Keyword(s):

Integer Programming ◽

Portfolio Optimization ◽

Mixed Integer Programming ◽

Mixed Integer ◽

Programming Approach ◽

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Asian Emerging Market Government Bond Portfolio Optimization Using Mean-Variance Analysis in the Presence of Duration Constraint

Proceedings of the International Conference on Business and Management Research (ICBMR 2020) ◽

10.2991/aebmr.k.201222.015 ◽

2020 ◽

Author(s):

Feby Widyatantri ◽

Zaäfri Ananto Husodo

Keyword(s):

Portfolio Optimization ◽

Emerging Market ◽

Variance Analysis ◽

Government Bond ◽

Bond Portfolio ◽

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Improved Conditional Value-at-Risk (CVaR) Based Method for Diversified Bond Portfolio Optimization

Communications in Computer and Information Science - Soft Computing in Data Science ◽

10.1007/978-981-13-3441-2_12 ◽

2018 ◽

pp. 149-160

Author(s):

Nor Idayu Mat Rifin ◽

Nuru’l-‘Izzah Othman ◽

Shahirulliza Shamsul Ambia ◽

Rashidah Ismail

Keyword(s):

At Risk ◽

Portfolio Optimization ◽

Value At Risk ◽

Conditional Value At Risk ◽

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Continuous-time mean-variance portfolio optimization with Safety-First Principle

11th IEEE International Conference on Control & Automation (ICCA) ◽

10.1109/icca.2014.6870897 ◽

2014 ◽

Author(s):

Yan Xiong ◽

Jianjun Gao

Keyword(s):

Portfolio Optimization ◽

Continuous Time ◽

First Principle ◽

Mean Variance Portfolio ◽

Mean Variance ◽

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BOND PORTFOLIO OPTIMIZATION BY BILINEAR FRACTIONAL PROGRAMMING

Journal of the Operations Research Society of Japan ◽

10.15807/jorsj.32.143 ◽

1989 ◽

Vol 32 (2) ◽

pp. 143-158 ◽

Author(s):

Hiroshi Konno ◽

Michimori Inori

Keyword(s):

Portfolio Optimization ◽

Fractional Programming ◽

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Continuous-time mean-variance portfolio optimization in a jump-diffusion market

Decisions in Economics and Finance ◽

10.1007/s10203-010-0106-7 ◽

2010 ◽

Vol 34 (1) ◽

pp. 21-40 ◽

Author(s):

Özge Sezgin Alp ◽

Ralf Korn

Keyword(s):

Portfolio Optimization ◽

Continuous Time ◽

Jump Diffusion ◽

Mean Variance Portfolio ◽

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