Bertocchi Marida

Marida Bertocchi

Information about the author Marida Bertocchi will soon be added to the site.
Found 8 papers in total
A stochastic model for investments in different technologies for electricity production in the long period
A stochastic model for investments in different technologies for electricity production in the long period
2014
We present a single stage stochastic mixed integer linear model for determining the...
Sensitivity analysis of a bond portfolio model for the Italian market
Sensitivity analysis of a bond portfolio model for the Italian market
2000
Management of bond portfolio is formulated as a multiperiod scenario-based stochastic...
Horizon and stages in applications of stochastic programming in finance
Horizon and stages in applications of stochastic programming in finance
2006
To solve a decision problem under uncertainty via stochastic programming means to...
Extensions of the Ho and Lee interest-rate model to the multinomial case
Extensions of the Ho and Lee interest-rate model to the multinomial case
2005
The paper presents a state dependent multinomial model of intertemporal changes in the...
Risk factor analysis and portfolio immunization in the corporate bond market
Risk factor analysis and portfolio immunization in the corporate bond market
2005
In this paper we develop a multi-factor model for the yields of corporate bonds. The...
From data to model and back to data: A bond portfolio management problem
From data to model and back to data: A bond portfolio management problem
2001
The bond portfolio management problem is formulated as a multiperiod stochastic...
Sensitivity of bond portfolio's behavior with respect to random movements in yield curve: A simulation study
Sensitivity of bond portfolio's behavior with respect to random movements in yield curve: A simulation study
2000
The bond portfolio management problem is formulated as a stochastic program based on...
Bond portfolio management with repo contracts: The Italian case
Bond portfolio management with repo contracts: The Italian case
2000
In this paper we present a model for management of bond portfolio including financing...
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