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Prozeßorientierte Asset Allocation von Bondportfolios : Prognose, Optimierung und Beurteilungskritierien

Siemßen, Sönke J. - 2000

Persistent link: https://www.econbiz.de/10013438280

Measuring risk in fixed income portfolios using yield curve models

Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Computational economics 46 (2015) 1, pp. 65-82

Persistent link: https://www.econbiz.de/10011441011

New methods in fixed income modeling : fixed income modeling

Mili, Mehdi (ed.); Samaniego Medina, Reyes (ed.); … - 2018

latest mathematical and econometric developments in finance, it analyzes the hedging securities and structured instruments … practitioners interested in the theory behind fixed income instruments, and in their applications in financial portfolio management …

Persistent link: https://www.econbiz.de/10011890434

Intertemporal forecasts of defaulted bond recoveries and portfolio losses

Kalotay, Egon A.; Altman, Edward I. - In: Review of finance : journal of the European Finance … 21 (2017) 1, pp. 433-463

Persistent link: https://www.econbiz.de/10011778628

Measuring plausibility of hypothetical interest rate shocks

Golub, Bennet W.; Tilman, Leo M. - In: Advanced bond portfolio management : best practices in …, (pp. 249-266). 2006

Persistent link: https://www.econbiz.de/10003280215

Multi-period dynamic bond portfolio optimization utilizing a stochastic interest rate model

Shimai, Yoshiyuki; Makimoto, Naoki - In: Asia Pacific financial markets 30 (2023) 4, pp. 817-844

Persistent link: https://www.econbiz.de/10014391968

Yield Curve Forecast Combinations Based on Bond Portfolio Performance

Caldeira, João - 2017

returns obtained by a given forecast model. An empirical application based on an optimal mean-variance bond portfolio problem … measures of forecast accuracy. We compute average net excess returns, standard deviation, and the Sharpe ratio of bond …

Persistent link: https://www.econbiz.de/10012960063

New Methods in Fixed Income Modeling : Fixed Income Modeling

Mili, Mehdi (ed.); Samaniego Medina, Reyes (ed.); … - 2018

Persistent link: https://www.econbiz.de/10012396848

From ad hoc bond-risk measures to variance-covariance forecasts

Jong, Marielle de; Fabozzi, Frank J. - In: The journal of fixed income : JFI 30 (2021) 4, pp. 6-16

Persistent link: https://www.econbiz.de/10012517176

Essays on empirical term structure modeling

Zhao, Feng - 2004

Persistent link: https://www.econbiz.de/10003387673

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