Selection of a fixed-income portfolio

DOI10.1134/S0005117906040072zbMath1126.91371OpenAlexW2043615890MaRDI QIDQ2457539

A. N. Krasnopol'skaya, Yu. S. Kan

Publication date: 23 October 2007

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0005117906040072

Mathematics Subject Classification ID

Quadratic programming (90C20)

Related Items (1)

Safety-first portfolio selection

Cites Work

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• Bilinear loss function: quantile minimization of its normal distribution
• A two-step capital variation model: optimization by different statistical criteria
• Capturing the Correlations of Fixed-income Instruments

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