Two-stage bond portfolio optimization and its application to Saudi Sukuk Market
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DOI: 10.1007/s10479-020-03544-5
Abstract: We consider a two-stage stochastic bond portfolio optimization problem, where an investor aims to optimize the cost of bond portfolio under different scenarios while ensuring predefined liabilities during a given planning horizon. The investor needs… read more here.
Keywords: bond portfolio; bond; portfolio optimization; market ... See more keywords