Risk factor analysis and portfolio immunization in the corporate bond market
Article Abstract:
A multi-factor model for analyzing the risks in the corporate bonds is presented. The model integrates 98% variability based on which it evolves a credit risk immunization strategy for corporate bonds, which have multiple credit ratings for portfolio management purposes.
Publication Name: European Journal of Operational Research
Subject: Business, international
ISSN: 0377-2217
Year: 2005
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Randomly generating portfolio-selection covariance matrices with specified distributional characteristics
Article Abstract:
The usefulness of covariance matrix factorization to optimize the selection of portfolios, by generating random, positive, semidefinite, covariance matrices, is described.
Publication Name: European Journal of Operational Research
Subject: Business, international
ISSN: 0377-2217
Year: 2007
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Portfolio performance evaluation in a mean-variance-skewness framework
Article Abstract:
A study makes a data envelopment analysis to propose a portfolio performance, which can effectively be used in a financial market.
Publication Name: European Journal of Operational Research
Subject: Business, international
ISSN: 0377-2217
Year: 2006
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