BOND PORTFOLIO OPTIMIZATION PROBLEMS AND THEIR APPLICATIONS TO INDEX TRACKING : A PARTIAL OPTIMIZATION APPROACH
Author:
Affiliation:
1. Department of Industrial Engineering and Management Tokyo Institute of Technology
2. currently at NTT DATA CORPORATION
Publisher
The Operations Research Society of Japan
Subject
Management Science and Operations Research,General Decision Sciences
Link
https://www.jstage.jst.go.jp/article/jorsj/39/3/39_KJ00001203030/_pdf
Reference10 articles.
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2. 2) CHARNES A. Programming with Linear Fractional Functions. Naval Research Logistics Quarterly. (1962) vol.9, p.181-186.
3. 3) CHVATAL V. Linear Programming. Freeman and Co.. (1983)
4. 4) ELTON E. J. Modern Portfolio Theory and Investment Analysis. John Wiley & Sons, Inc.. (1991)
5. 5) FONG G. H. Fixed Income Portfolio Management. Dow Jones. (1985)
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