Sciweavers

ICCS
2004
Springer
14 years 4 months ago
A Dynamic Stochastic Programming Model for Bond Portfolio Management
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