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Published in 2020 at "Annals of Operations Research"
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…
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Keywords:
bond portfolio;
bond;
portfolio optimization;
market ... See more keywords