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Titel:

Benchmark Optimization for Complex Interest-Rate Portfolios

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Zagst, R.
Nicht-TUM Koautoren:
nein
Kooperation:
-
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
Zeitschriftentitel:
risklab research paper No. 9801
Jahr:
1998
Seitenangaben Beitrag:
-
Sprache:
en
Key publication:
Nein
Peer reviewed:
Nein
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
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