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  • In this work we deal the portfolio optimization problem in the fixed income market considering two different risk sources: price risk and market risk. In this framework we propose a three decisional subsequent steps model. In particular, we take into account the price risk discussing an implementation of the classical immunization problem applied to the U.S. fixed income market. The portfolio selection model implements both classic and innovative immunization methodologies. Moreover, using the ex-post results from the optimal immunization problem we are able to account the market risk with other optimization procedures. The results show that we can build efficient portfolios that minimize the price risk and the market risk.
  • In this work we deal the portfolio optimization problem in the fixed income market considering two different risk sources: price risk and market risk. In this framework we propose a three decisional subsequent steps model. In particular, we take into account the price risk discussing an implementation of the classical immunization problem applied to the U.S. fixed income market. The portfolio selection model implements both classic and innovative immunization methodologies. Moreover, using the ex-post results from the optimal immunization problem we are able to account the market risk with other optimization procedures. The results show that we can build efficient portfolios that minimize the price risk and the market risk. (en)
Title
  • Reward and risk in the fixed income markets
  • Reward and risk in the fixed income markets (en)
skos:prefLabel
  • Reward and risk in the fixed income markets
  • Reward and risk in the fixed income markets (en)
skos:notation
  • RIV/61989100:27510/13:86088604!RIV14-GA0-27510___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(ED1.1.00/02.0070), P(EE2.3.20.0296), P(GA13-13142S), S
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
  • Ortobelli, Sergio Lozza
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 102854
http://linked.open...ai/riv/idVysledku
  • RIV/61989100:27510/13:86088604
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • risk analysis; immunization; portfolio selection; Fixed-Income market (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [3A0CDD630788]
http://linked.open...v/mistoKonaniAkce
  • Ostrava
http://linked.open...i/riv/mistoVydani
  • Karviná
http://linked.open...i/riv/nazevZdroje
  • Financial Regulation and Supervision in the After-Crisis Period : proceedings of 14th International Conference on Finance and Banking : Ostrava, Czech Republic, 16 - 17 October 2013
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Ortobelli, Sergio Lozza
  • Cassader, Marco
  • Vitali, Sebastiano
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
number of pages
http://purl.org/ne...btex#hasPublisher
  • Silesian University, School of Business Administration
https://schema.org/isbn
  • 978-80-7248-892-6
http://localhost/t...ganizacniJednotka
  • 27510
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