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rdf:type
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Description
| - 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)
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Title
| - Reward and risk in the fixed income markets
- Reward and risk in the fixed income markets (en)
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skos:prefLabel
| - Reward and risk in the fixed income markets
- Reward and risk in the fixed income markets (en)
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skos:notation
| - RIV/61989100:27510/13:86088604!RIV14-GA0-27510___
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http://linked.open...avai/riv/aktivita
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http://linked.open...avai/riv/aktivity
| - P(ED1.1.00/02.0070), P(EE2.3.20.0296), P(GA13-13142S), S
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http://linked.open...vai/riv/dodaniDat
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http://linked.open...aciTvurceVysledku
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http://linked.open.../riv/druhVysledku
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http://linked.open...iv/duvernostUdaju
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http://linked.open...titaPredkladatele
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http://linked.open...dnocenehoVysledku
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http://linked.open...ai/riv/idVysledku
| - RIV/61989100:27510/13:86088604
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http://linked.open...riv/jazykVysledku
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http://linked.open.../riv/klicovaSlova
| - risk analysis; immunization; portfolio selection; Fixed-Income market (en)
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http://linked.open.../riv/klicoveSlovo
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http://linked.open...ontrolniKodProRIV
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http://linked.open...v/mistoKonaniAkce
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http://linked.open...i/riv/mistoVydani
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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
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http://linked.open...in/vavai/riv/obor
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http://linked.open...ichTvurcuVysledku
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http://linked.open...cetTvurcuVysledku
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http://linked.open...vavai/riv/projekt
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http://linked.open...UplatneniVysledku
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http://linked.open...iv/tvurceVysledku
| - Ortobelli, Sergio Lozza
- Cassader, Marco
- Vitali, Sebastiano
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http://linked.open...vavai/riv/typAkce
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http://linked.open.../riv/zahajeniAkce
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number of pages
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http://purl.org/ne...btex#hasPublisher
| - Silesian University, School of Business Administration
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https://schema.org/isbn
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http://localhost/t...ganizacniJednotka
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