Bond portfolio optimization using dynamic factor models
João F. Caldeira, Guilherme V. Moura, André A.P. Santos
| 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
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| Subject: | Bond indexing | Dynamic policy selection | Kalman filter | Out-of-sample evaluation | Portfolio optimization | Yield curve forecasts | Portfolio-Management | Portfolio selection | Anleihe | Bond | Zinsstruktur | Yield curve | Prognoseverfahren | Forecasting model | Zustandsraummodell | State space model | Kapitaleinkommen | Capital income | Dynamische Wirtschaftstheorie | Economic dynamics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2016.03.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011662973