Scenario modeling for the management of international bond portfolios

DOI10.1023/A:1018973828120zbMath0920.90004OpenAlexW2084318951MaRDI QIDQ1289303

Andrea Beltratti, Stavros A. Zenios, Andrea Consiglio

Publication date: 27 May 1999

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1018973828120

zbMATH Keywords

Monte Carlo simulationportfolio managementoptimal asset allocationinternational bond markets

Mathematics Subject Classification ID

Related Items (7)

Two-stage stochastic hierarchical multiple risk problems: Models and algorithms ⋮ Management of non-maturing deposits by multistage stochastic programming ⋮ Massively parallel processing of recursive multi-period portfolio models ⋮ A portfolio-based evaluation of affine term structure models ⋮ Cash management using multi-stage stochastic programming ⋮ Solution sensitivity-based scenario reduction for stochastic unit commitment ⋮ Treasury management model with foreign exchange exposure

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