A dynamic stochastic programming model for bond portfolio management
文献类型：期刊论文
| 作者 | Yu, LY; Wang, SY ; Wu, Y; Lai, KK
|
| 刊名 | COMPUTATIONAL SCIENCE - ICCS 2004, PROCEEDINGS
 |
| 出版日期 | 2004 |
| 卷号 | 3039页码:876-883 |
| 关键词 | bond portfolio management stochastic programming scenario generation |
| ISSN号 | 0302-9743 |
| 英文摘要 | In this paper we develop a dynamic stochastic programming model for bond portfolio management. A new risk measurement-shortfall cost is put forward. It allows more tangible expression of the risks that the decision makers face than does the traditional risk measure-variance of terminal wealth. We also adopt the interest rate model of Black et al. to generate scenarios of riskless short rates at future periods. An example of bond portfolio management is presented to illustrate that our model dominates the usual fixed-mix model. |
| WOS研究方向 | Computer Science |
| 语种 | 英语 |
| WOS记录号 | WOS:000223079700113 |
| 出版者 | SPRINGER-VERLAG BERLIN |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/737]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Yu, LY |
| 作者单位 | 1.City Univ Hong Kong, Dept Management Sci, Hong Kong, Hong Kong, Peoples R China 2.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China 3.Univ Southampton, Sch Management, Southampton, Hants, England |
| 推荐引用方式 GB/T 7714 | Yu, LY,Wang, SY,Wu, Y,et al. A dynamic stochastic programming model for bond portfolio management[J]. COMPUTATIONAL SCIENCE - ICCS 2004, PROCEEDINGS,2004,3039:876-883. |
| APA | Yu, LY,Wang, SY,Wu, Y,&Lai, KK.(2004).A dynamic stochastic programming model for bond portfolio management.COMPUTATIONAL SCIENCE - ICCS 2004, PROCEEDINGS,3039,876-883. |
| MLA | Yu, LY,et al."A dynamic stochastic programming model for bond portfolio management".COMPUTATIONAL SCIENCE - ICCS 2004, PROCEEDINGS 3039(2004):876-883. |
入库方式： OAI收割
来源：数学与系统科学研究院
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