8 search results - page 1 / 2 » Optimal portfolio choice in the bond market |
FS
2006
13 years 4 months ago
2006
We consider the Merton problem of optimal portfolio choice when the traded instruments are the set of zero-coupon bonds. Working within an infinite-factor Markovian Heath-Jarrow-Mo...
FS
2006
13 years 4 months ago
2006
In this paper we investigate portfolio optimization in a Black-Scholes continuoustime setting under quantile based risk measures: value at risk, capital at risk and relative value...
WIOPT
2011
IEEE
12 years 8 months ago
2011
IEEE
—In this paper, we address the spectrum portfolio optimization (SPO) question in the context of secondary spectrum markets, where bandwidth (spectrum access rights) can be bought...
DA
2010
13 years 4 months ago
2010
In competitive wholesale electricity markets, regulated load serving entities (LSEs) and marketers with default service contracts have obligations to serve fluctuating load at pre...
ANOR
2006
13 years 4 months ago
2006
To solve a decision problem under uncertainty via stochastic programming means to choose or to build a suitable stochastic programming model taking into account the nature of the r...