Value-at-Risk for fixed-income portfolios: a Kalman filtering approach.
- Published in:
- IMA Journal of Management Mathematics, 2016, v. 27, n. 4, p. 557, doi. 10.1093/imaman/dpv016
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- Publication type:
- Article
Works matching IS 1471678X AND DT 2016 AND VI 27 AND IP 4
Results: 5
1
2
Bivariate semi-Markov reward chain and credit spreads.
- Published in:
- IMA Journal of Management Mathematics, 2016, v. 27, n. 4, p. 529, doi. 10.1093/imaman/dpv009
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- Publication type:
- Article
3
Computation of the implied discount rate and volatility for an overdefined system using stochastic optimization.
- Published in:
- IMA Journal of Management Mathematics, 2016, v. 27, n. 4, p. 505, doi. 10.1093/imaman/dpv007
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- Publication type:
- Article
4
Passive portfolio management over a finite horizon with a target liquidation value under transaction costs and solvency constraints.
- Published in:
- IMA Journal of Management Mathematics, 2016, v. 27, n. 4, p. 471, doi. 10.1093/imaman/dpv002
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- Publication type:
- Article
5
Quantitative maritime security assessment: a 2020 vision.
- Published in:
- IMA Journal of Management Mathematics, 2016, v. 27, n. 4, p. 453, doi. 10.1093/imaman/dpw005
- By:
- Publication type:
- Article