Bond portfolio optimization using dynamic factor models
Year of publication: |
June 2016
|
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Authors: | Caldeira, João F. ; Moura, Guilherme Valle ; Santos, André A. P. |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 37.2016, p. 128-158
|
Subject: | Bond indexing | Dynamic policy selection | Kalman filter | Out-of-sample evaluation | Portfolio optimization | Yield curve forecasts | Portfolio-Management | Portfolio selection | Zinsstruktur | Yield curve | Anleihe | Bond | Prognoseverfahren | Forecasting model | Zustandsraummodell | State space model | Kapitaleinkommen | Capital income | Faktorenanalyse | Factor analysis | Öffentliche Anleihe | Public bond | Dynamische Wirtschaftstheorie | Economic dynamics |
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