Dynamic models for fixed-income portfolio management under uncertainty
Article Abstract:
The multi-stage, dynamic models developed for fixed-income portfolio management could produce superb results in practice. Backtesting results have been tremendously promising. Moreover, the models yield strong recommendations in relation to modifications in the input scenarios. The models exhibit extreme versatility, and can incorporate transaction costs cash infusions or withdrawals.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 1998
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A model for designing callable bonds and its solution using tabu search
Article Abstract:
The tabu search procedure for designing callable bonds was found to produce better solutions and is more efficient in solving the global optimization problem of designing callable bonds. The design of callable bonds was formulated as a non-linear, global optimization model and the resulting problem is a multi-modal procedure evaluated with annealing and tabu search techniques.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 1997
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