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Document type:
Zeitschriftenaufsatz 
Author(s):
Zagst, R. 
Non-TUM Co-author(s):
nein 
Cooperation:
Title:
Benchmark Optimization for Complex Interest-Rate Portfolios 
Abstract:
In this paper we examine the problem of optimizing interest rate portfolios with rather asymmetric return distributions. The portfolios risk exposure is measured assuming that the portfolio manager is averse to portfolio returns falling below one or more given benchmarks. We apply a downside risk approach using the lower partial moments of order 0, 1 and 2, a framework that is quite well justified in the literature. We approximate the portfolios complex distribution function and derive a mixed-i...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
risklab research paper No. 9801 
Year:
1998 
Pages contribution:
Language:
en 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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