Designing fixed-income securities investment portfolios under different scenarios
The management of fixed-income securities investment portfolios enjoys a long tradition in the capital markets. This paper analyses robust optimisation models as efficient tools for risk management of fixed-income securities. The study includes the analysis of scenario-based optimisation models applied to the portfolio selection and on the basis of indeterminate initial endowment. A detailed analysis is made for a case study involving the composition of fixed-income investment portfolios, which is solved using robust scenario-based optimisation models. Finally, a sensitivity analysis is carried out for different scenarios occurring for each of the models.
Year of publication: |
2013
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Authors: | Cortés, Pablo ; Onieva, Luis ; Guadix, José ; Muñuzuri, Jesús |
Published in: |
The Service Industries Journal. - Taylor & Francis Journals, ISSN 0264-2069. - Vol. 33.2013, 9-10, p. 859-875
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Publisher: |
Taylor & Francis Journals |
Saved in:
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