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Value-at-Risk for fixed-income portfolios : a Kalman filtering approach
Date, P.; Bustreo, R. - In: IMA journal of management mathematics 27 (2016) 4, pp. 557-573
Persistent link: https://www.econbiz.de/10011740023
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Comment on "an algorithm for moment-matching scenario generation with application to financial portfolio optimization"
Contreras, Juan Pablo; Bosch, Paul; Herrera, Mauricio - In: European journal of operational research : EJOR 269 (2018) 3, pp. 1180-1184
Persistent link: https://www.econbiz.de/10011866903
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A mixed integer linear programming model for optimal sovereign debt issuance
Date, P.; Canepa, Alessandra; Abdel-Jawad, M. - In: European journal of operational research : EJOR 214 (2011) 3, pp. 749-758
Persistent link: https://www.econbiz.de/10009316184
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An algorithm for moment-matching scenario generation with application to financial portfolio optimisation
Ponomareva, K.; Roman, D.; Date, P. - In: European journal of operational research : EJOR 240 (2015) 3, pp. 678-687
Persistent link: https://www.econbiz.de/10010486971