Bond portfolio optimization in the presence of duration constraints
Romain Deguest, Frank Fabozzi, Lionel Martellini, and Vincent Milhau
| Year of publication: |
2018
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|---|---|
| Authors: | Deguest, Romain ; Fabozzi, Frank J. ; Martellini, Lionel ; Milhau, Vincent |
| Published in: |
The journal of fixed income. - London : IPR Journals, ISSN 1059-8596, ZDB-ID 1116103-6. - Vol. 28.2018, 1, p. 6-26
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| Subject: | Duration Constraint | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Theorie | Theory | Schätzung | Estimation | 2005-2012 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011905566