In order to achieve greater flexibility in portfolio selection, transaction cost, short selling and
higher moments should be considered, and actual transactions should be reflected. In this …

This study takes a comprehensive and unified approach to investigating the yield curve.
Specifically, we begin from scratch with the derivation of a formula for the yield curve within …

The aim of this paper is to investigate the effects of higher moments on multi-period portfolio
selection with fuzzy returns. This paper gives the definitions of possibilistic mean and …

In this paper, we develop a portfolio optimization method to maximize the performance of a
fixed income portfolio. To achieve this aim, we define a two-step optimization problem where …

This paper examines the role of real estate in US pension portfolios, considering various
funding ratios and liability durations. It also investigates the composition of the real estate …

The efficiency of traditional and stochastic interest rate risk measures is compared under
one-, two-, and three-factor no-arbitrage Gauss-Markov term structure models, and for …

In this paper we identify those shifts (continuous functions) of the term structure of interest
rates, against which a given bond portfolio (BP) is immunized. The set of such shifts (IMMU) …

En este trabajo ofrecemos una visión general y actualizada sobre diferentes estrategias de
negociación en activos de renta fija que hacen uso de la estructura temporal de tipos de …

Empirically testing a bond portfolio hedging model is usually carried out when proposing a
new model or to compare several existing models using real data. However, there are many …

Using different econometric models, Diebold and Li (J Econom 130: 337–364, 2006)
addressed the practical problem of forecasting the yield curve by predicting the factors level …