The Hidden Risks of Optimizing Bond Portfolios under VaR
Year of publication: |
2004
|
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Authors: | Winker, Peter ; Maringer, Dietmar |
Publisher: |
Frankfurt a. M. : Deutsche Bank Research |
Subject: | Value at Risk | Portfolio-Management | Heuristisches Verfahren | Rentenmarkt | Theorie | VaR | risk | portfolio optimization | heuristic optimization |
Series: | Research Notes ; 13 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 396410227 [GVK] hdl:10419/21874 [Handle] RePEc:zbw:dbrrns:13 [RePEc] |
Classification: | G28 - Government Policy and Regulation ; G11 - Portfolio Choice ; C16 - Specific Distributions ; C15 - Statistical Simulation Methods; Monte Carlo Methods |
Source: |
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The Hidden Risks of Optimizing Bond Portfolios under VaR
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