The Structure of Structured Bond Portfolio Models

Paul Zipkin
Additional contact information
Paul Zipkin: Columbia University, New York, New York

Operations Research, 1992, vol. 40, issue 1-supplement-1, S157-S169

Abstract: Over the past decade, optimization models have been widely used to help select bond portfolios. Several different formulations are popular. The purposes of this paper are to clarify the basic structures of the models, to explain the relationships among them, and to assess their strengths and weaknesses.

Keywords: finance; portfolio: model formulations; programming; linear applications: portfolio optimization models (search for similar items in EconPapers)
Date: 1992
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://dx.doi.org/10.1287/opre.40.1.S157 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:inm:oropre:v:40:y:1992:i:1-supplement-1:p:s157-s169

Access Statistics for this article

More articles in Operations Research from INFORMS Contact information at EDIRC.
Bibliographic data for series maintained by Chris Asher ().