Designing fixed income securities investment portfolios for SMEs in different scenarios
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 appl...
| Autores: | , , , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2013 |
| País: | España |
| Institución: | Universidad de Sevilla (US) |
| Repositorio: | idUS. Depósito de Investigación de la Universidad de Sevilla |
| OAI Identifier: | oai:idus.us.es:11441/95982 |
| Acceso en línea: | https://hdl.handle.net/11441/95982 https://doi.org/10.1080/02642069.2013.719885 |
| Access Level: | acceso abierto |
| Palabra clave: | Investment portfolio Robust optimisation Scenario |
| Sumario: | 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. |
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