Keyword: portfolio analysis

Found 35 papers in total
Robust optimization models for managing callable bond portfolios
Robust optimization models for managing callable bond portfolios
1996,
A major sector of the bond markets is currently represented by instruments with...
Managing a value-preserving portfolio over time
Managing a value-preserving portfolio over time
1996,
This paper discusses an intertemporally efficient value-preserving consumption plan...
Portfolio selection: A compromise programming solution
Portfolio selection: A compromise programming solution
1996,
A surrogate for an investor’s bi-criteria utility function (profitability,...
Continuous-time portfolio optimization under terminal wealth constraints
Continuous-time portfolio optimization under terminal wealth constraints
1995,
Typically portfolio analysis is based on the expected utility or the mean-variance...
A preference foundation for log mean-variance criteria in portfolio choice problems
A preference foundation for log mean-variance criteria in portfolio choice problems
1993,
The appropriate criterion for evaluating, and hence also for properly constructing,...
A model for portfolio management with mortgage-backed securities
A model for portfolio management with mortgage-backed securities
1993,
This paper presents a stochastic programming model for the mamagement of large...
Optimal portfolios with asymptotic criteria
Optimal portfolios with asymptotic criteria
1993,
This paper is concerned with a portfolio optimization model for a long planning...
On the number of securities which constitute an efficient portfolio
On the number of securities which constitute an efficient portfolio
1993,
The purpose of this paper is to discuss the relationship between the number of...
Mean-absolute deviation portfolio optimization for mortgage-backed securities
Mean-absolute deviation portfolio optimization for mortgage-backed securities
1993,
The authors develop an integrated simulation/optimization model for managing...
Optimal bank portfolio choice under fixed-rate deposit insurance
Optimal bank portfolio choice under fixed-rate deposit insurance
1993,
This paper analyzes the investment decisions of insured banks under fixed-rate deposit...
Ex post efficiency and mutual fund evaluation
Ex post efficiency and mutual fund evaluation
1992,
The ex post efficient frontier is the tradeoff between portfolio average return and...
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