Artículo
Designing fixed income securities investment portfolios for SMEs in different scenarios
Autor/es | Cortés, Pablo
Onieva, Luis Guadix Martín, José Muñuzuri, Jesús |
Departamento | Universidad de Sevilla. Departamento de Organización Industrial y Gestión de Empresas II |
Fecha de publicación | 2013 |
Fecha de depósito | 2020-04-29 |
Publicado en |
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Resumen | The management of fixed-income securities investment portfolios enjoys a long tradition in the capital markets. This paper analyses robust optimisation models as efficient tools for risk management of fixed-income securities. ... The management of fixed-income securities investment portfolios enjoys a long tradition in the capital markets. This paper analyses robust optimisation models as efficient tools for risk management of fixed-income securities. The study includes the analysis of scenario-based optimisation models applied to the portfolio selection and on the basis of indeterminate initial endowment. A detailed analysis is made for a case study involving the composition of fixed-income investment portfolios, which is solved using robust scenario-based optimisation models. Finally, a sensitivity analysis is carried out for different scenarios occurring for each of the models. |
Cita | Cortés, P., Onieva, L., Guadix Martín, J. y Muñuzuri, J. (2013). Designing fixed income securities investment portfolios for SMEs in different scenarios. The Service Industries Journal, 33 (9-10), 859-875. |
Ficheros | Tamaño | Formato | Ver | Descripción |
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Designingfixedincomesecurities.pdf | 2.460Mb | [PDF] | Ver/ | |