Bond portfolio optimization problems and their applications to index tracking: A partial optimization approach

Journal of the Operations Research Society of Japan

Volumn 39, Issue 3, 1996, Pages 295-306

  Konno, Hiroshi ^a   Watanabe, Hidetoshi ^a  

^a TOKYO INSTITUTE OF TECHNOLOGY   (Japan)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0001404993     PISSN: 04534514     EISSN: None     Source Type: Journal    
DOI: 10.15807/jorsj.39.295     Document Type: Article

References (11)

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3. Chvátal. V., Linear Programming, Freeman and Co.,1983.
4. Elton, E.J. and Gruber, N.J.. Modern Portfolio Theory and Investment Analysis (4th ed.) John Wiley & Sons, Inc., 1991.
5. Fong. G.H. and Fabozzi. F.J., Fixed Income Portfolio Management, Dow Jones, Irwin, Inc., 1985.
6. Horst, R. and Tuy H., Global Optimization, Springer Verlag, 1991.
7. Konno, H. and Inori, M., "Bond Portfolio Optimization by Bilinear Fractional Programming", J. of the Operations Research Society of Japan, 32 (1989) 143-158.
8. Konno, H. and Takase, T., "Estimating the Term Structure of Interest Rates by Constrained Least Square Approach'', to appear in Financial Engineering and Japanese Markets.
9. Konno, H., Yajima, Y. and Matsui, "Parametric Simplex Algorithms for Solving a Special Class of Nonconvex Minimization Problems", J. of Global Optimization, 1 (1991) 65-81.
10. Lasdon, L., Optimization Theory for Large Systems, Macmillian Co., 1970.
11. Luenberger. D.G.. Introduction to Linear and Nonlinear Programming, (2nd edition). Addison-Wesley. 1984.