Reducing transaction costs for interest rate risk hedging with stochastic programming
Jörgen Blomvall, Johan Hagenbjörk
| Year of publication: |
2022
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|---|---|
| Authors: | Blomvall, Jörgen ; Hagenbjörk, Johan |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 302.2022, 3 (1.11.), p. 1282-1293
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| Subject: | Finance | OR in banking | Risk management | Stochastic programming | Risikomanagement | Hedging | Transaktionskosten | Transaction costs | Zinsrisiko | Interest rate risk | Theorie | Theory | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Bankrisiko | Bank risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2022.02.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013363855