Multi-level risk-controlled sector optimization of domestic and international fixed-income portfolios including conditional VaR.
Ron D'VariJuan C. SosaKishore K. YalamanchiliPublished in: CIFEr (2000)
Keyphrases
- portfolio optimization
- risk measures
- robust optimization
- global optimization
- risk management
- portfolio selection
- risk analysis
- optimization problems
- fixed number
- investment decisions
- high risk
- world wide
- combinatorial optimization
- transaction costs
- united states
- optimization algorithm
- optimization process
- optimization methods
- decision support system