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33
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ICCS
2004
Springer
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Applied Computing
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ICCS 2004
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A Dynamic Stochastic Programming Model for Bond Portfolio Management
14 years 6 months ago
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madis1.iss.ac.cn
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 express...
Liyong Yu, Shouyang Wang, Yue Wu, Kin Keung Lai
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